The economic significance of trading based on the size effect in Australia
Bettman, Jenni; Ng, Wen Sern (Kelvin); Sault, Stephen
Description
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 |
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Date published: | 2011 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/37809 |
Source: | Australian Journal of Management |
DOI: | 10.1177/0312896210388860 |
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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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