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The survivorship bias, share price effect, and small firm effect in Canadian markets

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  • Elfakhani, Said
  • Wei, Jason

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  • Elfakhani, Said & Wei, Jason, 2003. "The survivorship bias, share price effect, and small firm effect in Canadian markets," Review of Financial Economics, Elsevier, vol. 12(4), pages 397-411.
    • Handle: RePEc:eee:revfin:v:12:y:2003:i:4:p:397-411
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    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. "Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-1764, December.
    3. Eugene F. Fama & Kenneth R. French, 1998. "Value versus Growth: The International Evidence," Journal of Finance, American Finance Association, vol. 53(6), pages 1975-1999, December.
    4. Reinganum, Marc R., 1983. "The anomalous stock market behavior of small firms in January : Empirical tests for tax-loss selling effects," Journal of Financial Economics, Elsevier, vol. 12(1), pages 89-104, June.
    5. Roll, Richard, 1981. "A Possible Explanation of the Small Firm Effect," Journal of Finance, American Finance Association, vol. 36(4), pages 879-888, September.
    6. Pinfold, John F. & Wilson, William R. & Li, Qiuli, 2001. "Book-to-market and size as determinants of returns in small illiquid markets: the New Zealand case," Financial Services Review, Elsevier, vol. 10(1-4), pages 291-302.
    7. Barry, Christopher B. & Brown, Stephen J., 1984. "Differential information and the small firm effect," Journal of Financial Economics, Elsevier, vol. 13(2), pages 283-294, June.
    8. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    9. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," Journal of Finance, American Finance Association, vol. 47(2), pages 553-575, June.
    10. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "Stock Price and Degree of Neglect as Determinants of Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(2), pages 101-112, Summer.
    11. William Kross, 1985. "The Size Effect Is Primarily A Price Effect," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(3), pages 169-179, September.
    12. Ravinder K. Bhardwaj & LeRoy D. Brooks, 1992. "Stock Price And Degree Of Neglect As Determinants Of Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(2), pages 101-112, June.
    13. Reyes, Mario G., 1999. "Size, time-varying beta, and conditional heteroscedasticity in UK stock returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 1-10, June.
    14. James R. Booth & Richard L. Smith, 1987. "An Examination Of The Small-Firm Effect On The Basis Of Skewness Preference," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 77-86, March.
    15. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    16. Chan, K. C. & Chen, Nai-fu & Hsieh, David A., 1985. "An exploratory investigation of the firm size effect," Journal of Financial Economics, Elsevier, vol. 14(3), pages 451-471, September.
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    Cited by:

    1. Robert Rutledge & Zhaohui Zhang & Khondkar Karim, 2008. "Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(2), pages 117-133, June.

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