Returns generated with small firm mutual fund data are used to examine the extent to which identification of a "small firm effect" is due to the difficulty in measuring the direct and indirect transaction costs involved in investing in common shares of small capitalization stocks. Little if any evidence of the excess risk-adjusted returns is obtained for either of the period 1978-83, when the small firm effect was observed, or the period 1984-89, when it was not. The "small firm effect" may therefore be attributed to (1) higher direct transaction costs including bid-ask spread and broker fees and (2) higher indirect transaction costs including portfolio management expenses and market impact costs. Copyright 1992 by Kluwer Academic Publishers
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Volume (Year): 4 (1992) Issue (Month): 3 (September) Pages: 211-19 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF