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On computing mean returns and the small firm premium

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

Volume (Year): 12 (1983)
Issue (Month): 3 (November)
Pages: 371-386
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Handle: RePEc:eee:jfinec:v:12:y:1983:i:3:p:371-386

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

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  1. Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003. "Asset Pricing in China: Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 128, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  2. Thomas Kirchmaier, 2003. "The Performance Effects of European Demergers," CEP Discussion Papers dp0566, Centre for Economic Performance, LSE. [Downloadable!]
  3. Jeremy Grant & Thomas Kirchmaier, 2004. "Corporate Ownership Structure and Performance in Europe," CEP Discussion Papers dp0631, Centre for Economic Performance, LSE. [Downloadable!]
  4. Teppo Martikainen, 1991. "The impact of infrequent trading on betas based on daily, weekly and monthly return intervals : empirical evidence with Finnish data," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 52-64, Spring. [Downloadable!]
  5. Maher Kooli & Jean-Marc Suret, 2001. "The Aftermarket Performance of Initial Public Offerings in Canada," CIRANO Working Papers 2001s-52, CIRANO. [Downloadable!]
  6. Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  7. Michael E. Drew & Madhu Veeraraghavan, 2001. "Asset Pricing In The Asian Region," School of Economics and Finance Discussion Papers and Working Papers Series 094, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  8. Richard Kum-yew Lai, 2005. "Inventory and the Stock Market," Finance 0509006, EconWPA. [Downloadable!]
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