Differential information and the small firm effect

作者: Christopher B. Barry , Stephen J. Brown

DOI: 10.1016/0304-405X(84)90026-6

关键词: EconometricsProxy (statistics)EconomicsSmall firmAnomaly (natural sciences)Differential informationFinancial economicsSample (statistics)Listing (finance)

摘要: We examine a model of market equilibrium in which there is less information available about some the securities than others. consider as potential explanation well-known small firm anomaly. Using period listing proxy for quantity information, we find an association between and security returns that cannot be accounted by size not diminished elimination January data from our sample. Thus, observe new empirical regularity refer to ‘period listing’ effect.

参考文章(26)
Marc R. Reinganum, The anomalous stock market behavior of small firms in January Journal of Financial Economics. ,vol. 12, pp. 89- 104 ,(1983) , 10.1016/0304-405X(83)90029-6
Marc R. Reinganum, Misspecification of capital asset pricing Journal of Financial Economics. ,vol. 9, pp. 19- 46 ,(1981) , 10.1016/0304-405X(81)90019-2
Christopher B. Barry, Stephen J. Brown, Differential Information and Security Market Equilibrium The Journal of Financial and Quantitative Analysis. ,vol. 20, pp. 407- 422 ,(1985) , 10.2307/2330758
Richard Roll, Vas Ist Das The Journal of Portfolio Management. ,vol. 9, pp. 18- 28 ,(1983) , 10.3905/JPM.1983.18
Marc R. Reinganum, Janet Kiholm Smith, Investor Preference for Large Firms: New Evidence on Economies of Size The Journal of Industrial Economics. ,vol. 32, pp. 213- 227 ,(1983) , 10.2307/2098049
Roger W. Klein, Vijay S. Bawa, The effect of limited information and estimation risk on optimal portfolio diversification Journal of Financial Economics. ,vol. 5, pp. 89- 111 ,(1977) , 10.1016/0304-405X(77)90031-9
Richard Roll, On computing mean returns and the small firm premium Journal of Financial Economics. ,vol. 12, pp. 371- 386 ,(1983) , 10.1016/0304-405X(83)90055-7
Lawrence Fisher, Determinants of Risk Premiums on Corporate Bonds Journal of Political Economy. ,vol. 67, pp. 217- 237 ,(1959) , 10.1086/258172
STEPHEN FIGLEWSKI, Information Diversity and Market Behavior Journal of Finance. ,vol. 37, pp. 87- 102 ,(1982) , 10.1111/J.1540-6261.1982.TB01097.X