The economic significance of trading based on the size effect in Australia
It is generally accepted within the extant literature that a size effect exists, whereby smaller firms tend to experience higher rates of return than those of large firms. This small size effect is identified in a number of studies over a variety of equity markets. Despite this, however, no study to date considers the dollar profits attainable by executing a trading strategy that constructs a portfolio based on stocks within the lowest market capitalization decile. Specifically, this paper...[Show more]
|Collections||ANU Research Publications|
|Source:||Australian Journal of Management|
|01_Bettman_The_economic_significance_of_2011.pdf||1.87 MB||Adobe PDF||Request a copy|
|02_Bettman_The_economic_significance_of_2011.pdf||316.61 kB||Adobe PDF||Request a copy|
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