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Investment Behavior and the Small Firm Effect

Author

Listed:
  • Robert J. Sweeney

    (Wright State University)

  • Robert F. Scherer

    (Wright State University)

  • Janet Goulet

    (Wittenburg University)

  • Waldemar M. Goulet

Abstract

Our purpose in this review is to develop one explanation of market behavior which is consistent with the many empirical findings that appear to be inconsistent with the market efficiency hypothesis. To date, researchers have attempted to reconcile their empirical results with market efficiency based on either measurement error or structural inefficiencies. We propose a different approach to market efficiency. We posit that the empirical findings previous researchers report are by their nature ex post, and are a direct result of a market which is best described as efficient. We develop a model and provide a simulation to support this explanation.

Suggested Citation

  • 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 251-269, Fall.
  • Handle: RePEc:pep:journl:v:5:y:1996:i:3:p:251-69
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Small Firm Effect; Asset Pricing;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • L25 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Firm Performance
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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