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Re-examining the small-cap myth: problems in portfolio formation and liquidation

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  • Griffiths, Mark D.
  • Turnbull, D. Alasdair S.
  • White, Robert W.

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  • 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.
    • Handle: RePEc:eee:glofin:v:10:y:1999:i:2:p:201-221
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    References listed on IDEAS

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    1. Basu, Sanjoy, 1983. "The relationship between earnings' yield, market value and return for NYSE common stocks : Further evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 129-156, June.
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    3. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    4. Mark D. Griffiths & Drew B. Winters, 1997. "The Effect of Federal Reserve Accounting Rules on the Equilibrium Level of Overnight Repo Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(6), pages 815-832, July.
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    8. Roll, Richard, 1983. "On computing mean returns and the small firm premium," Journal of Financial Economics, Elsevier, vol. 12(3), pages 371-386, November.
    9. Jones, Steven L & Lee, Winson & Apenbrink, Rudolf, 1991. "New Evidence on the January Effect before Personal Income Taxes," Journal of Finance, American Finance Association, vol. 46(5), pages 1909-1924, December.
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    13. Ferris, Stephen P & Haugen, Robert A & Makhija, Anil K, 1988. " Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect," Journal of Finance, American Finance Association, vol. 43(3), pages 677-697, July.
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    15. Mark D. Griffiths & Drew B. Winters, 1997. "The Effect of Federal Reserve Accounting Rules on the Equilibrium Level of Overnight Repo Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(6), pages 815-832.
    16. Donald B. Keim, "undated". "Trading Patterns, Bid-Ask Spreads and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points (Reprint 008)," Rodney L. White Center for Financial Research Working Papers 22-89, Wharton School Rodney L. White Center for Financial Research.
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