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Transaction costs and the small firm effect : A comment

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  • Schultz, Paul
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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: 81-88

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    Handle: RePEc:eee:jfinec:v:12:y:1983:i:1:p:81-88

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

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    Cited by:
    1. Heidle, Hans Gerhard, 1999. "Market Microstructure and Asset Pricing: A Survey," Discussion Papers, The Research Institute of the Finnish Economy 691, The Research Institute of the Finnish Economy.
    2. Hillier, David & Marshall, Andrew, 2002. "Insider trading, tax-loss selling, and the turn-of-the-year effect," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 73-84.
    3. Marquering, Wessel & Verbeek, Marno, 1999. "An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(3), pages 243-265, September.
    4. Sebastian Dickgiesser & Christoph Kaserer, 2010. "Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 11, pages 302-335, 08.
    5. Vayanos, Dimitri, 1998. "Transaction Costs and Asset Prices: A Dynamic Equilibrium Model," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.
    6. 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.
    7. Robert J. Sweeney & Robert F. Scherer & Janet Goulet & Waldemar M. Goulet, 1996. "Investment Behavior and the Small Firm Effect," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 5(3), pages 251-69 , Fall.
    8. Horowitz, Joel L. & Loughran, Tim & Savin, N. E., 2000. "Three analyses of the firm size premium," Journal of Empirical Finance, Elsevier, Elsevier, vol. 7(2), pages 143-153, August.

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