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Size and stock returns, and other empirical regularities

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  • Schwert, G. William

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 12 (1983)
Issue (Month): 1 (June)
Pages: 3-12

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Handle: RePEc:eee:jfinec:v:12:y:1983:i:1:p:3-12

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Web page: http://www.elsevier.com/locate/inca/505576

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Cited by:
  1. Griffiths, Mark D. & Turnbull, D. Alasdair S. & White, Robert W., 1999. "Re-examining the small-cap myth: problems in portfolio formation and liquidation," Global Finance Journal, Elsevier, vol. 10(2), pages 201-221.
  2. Lang, Larry H P & Stulz, Rene M, 1994. "Tobin's q, Corporate Diversification, and Firm Performance," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1248-80, December.
  3. Werner F. M. De Bondt & Richard H. Thaler, 1994. "Financial Decision-Making in Markets and Firms: A Behavioral Perspective," NBER Working Papers 4777, National Bureau of Economic Research, Inc.
  4. Kohers, Theodor & Pandey, Vivek & Kohers, Gerald, 1997. "Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 523-545.
  5. Marcello Pericoli & Massimo Sbracia, 2006. "The CAPM and the risk appetite index; theoretical differences and empirical similarities," Temi di discussione (Economic working papers) 586, Bank of Italy, Economic Research and International Relations Area.
  6. Argiro Svingou, 2013. "Cross-sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 63(1-2), pages 100-120, June.
  7. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
  8. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony Rodrigues, 1989. "Conditional mean-variance efficiency of the U.S. stock market," Research Paper 8901, Federal Reserve Bank of New York.
  9. Craswell, Allen T. & Taylor, Stephen L. & Saywell, Richard A., 1997. "Ownership structure and corporate performance: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 301-323, July.
  10. Kothari, S. P. & Warner, Jerold B., 1997. "Measuring long-horizon security price performance," Journal of Financial Economics, Elsevier, vol. 43(3), pages 301-339, March.
  11. Tang, Gordon Y. N. & Shum, Wai C., 2003. "The conditional relationship between beta and returns: recent evidence from international stock markets," International Business Review, Elsevier, vol. 12(1), pages 109-126, February.
  12. Khalid Al-Saad & Imad Moosa, 2005. "Seasonality in stock returns: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 63-71.
  13. Tang, Gordon Y. N. & Shum, Wai Cheong, 2004. "The risk-return relations in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 179-195, April.
  14. Gordon Tang & Wai Cheong Shum, 2006. "Risk-return relationships in the Hong Kong stock market: revisit," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1047-1058.
  15. McClain, Katherine T. & Humphreys, H. Brett & Boscan, Atahualpa, 1996. "Measuring risk in the mining sector with ARCH models with important observations on sample size," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 369-391, December.
  16. Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D., 2013. "Connecting two markets: An equilibrium framework for shorts, longs, and stock loans," Journal of Financial Economics, Elsevier, vol. 108(2), pages 302-322.

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