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"The first shall be last". Size and value strategy premia at the London Stock Exchange

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  • Bagella, Michele
  • Becchetti, Leonardo
  • Carpentieri, Andrea

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 24 (2000)
Issue (Month): 6 (June)
Pages: 893-919

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Handle: RePEc:eee:jbfina:v:24:y:2000:i:6:p:893-919

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  5. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, . "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 7-89, Wharton School Rodney L. White Center for Financial Research.
  6. Franklin Allen & Anthony M. Santomero, 1996. "The Theory of Financial Intermediation," Center for Financial Institutions Working Papers 96-32, Wharton School Center for Financial Institutions, University of Pennsylvania.
  7. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "The cross-section of stock returns : evidence from emerging markets," Policy Research Working Paper Series 1505, The World Bank.
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  21. Wang, Yong, 1993. "Near-Rational Behaviour and Financial Market Fluctuations," Economic Journal, Royal Economic Society, vol. 103(421), pages 1462-78, November.
  22. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  23. Brouwer, I. & Put, J. van der & Veld, C.H., 1996. "Contrarian Investment Strategies in a European Context," Discussion Paper 1996-36, Tilburg University, Center for Economic Research.
  24. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September.
  25. Loughran, Tim, 1997. "Book-to-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(03), pages 249-268, September.
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  27. Myron J. Gordon & Eli Shapiro, 1956. "Capital Equipment Analysis: The Required Rate of Profit," Management Science, INFORMS, vol. 3(1), pages 102-110, October.
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Cited by:
  1. Anderson, James H. & Korsun, Georges & Murrell, Peter, 2003. "Glamour and value in the land of Chingis Khan," Journal of Comparative Economics, Elsevier, vol. 31(1), pages 34-57, March.
  2. Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A., 2012. "The investment value of the value premium," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 416-437.
  3. Dimitrios Kyriazis & Chris Christou, 2013. "A Re-examination of the Performance of Value Strategies in the Athens Stock Exchange," International Advances in Economic Research, Springer, vol. 19(2), pages 131-151, May.
  4. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.

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