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Investment Behavior and the Small Firm Effect

  • Robert J. Sweeney

    (Wright State University)

  • Robert F. Scherer

    (Wright State University)

  • Janet Goulet

    (Wittenburg University)

  • Waldemar M. Goulet
Registered author(s):

    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.

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    File URL: http://jefsite.org/RePEc/pep/journl/jef-1996-05-3-e-sweeney.pdf
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    Article provided by Pepperdine University, Graziadio School of Business and Management in its journal Journal of Entrepreneurial and Small Business Finance.

    Volume (Year): 5 (1996)
    Issue (Month): 3 (Fall)
    Pages: 251-69

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    Handle: RePEc:pep:journl:v:5:y:1996:i:3:p:251-69
    Contact details of provider: Postal: 24255 Pacific Coast Hwy, Malibu CA
    Web page: http://bschool.pepperdine.edu/jef

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    1. Marshall Blume & Robert Stambaugh, . "Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)," Rodney L. White Center for Financial Research Working Papers 11-83, Wharton School Rodney L. White Center for Financial Research.
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    7. Mustafa Gultekin & Bulent Gultekin, . "Stock Market Seasonality: Internal Evidence," Rodney L. White Center for Financial Research Working Papers 17-83, Wharton School Rodney L. White Center for Financial Research.
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    17. Schultz, Paul, 1983. "Transaction costs and the small firm effect : A comment," Journal of Financial Economics, Elsevier, vol. 12(1), pages 81-88, June.
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    21. 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.
    22. 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.
    23. Stoll, Hans R. & Whaley, Robert E., 1983. "Transaction costs and the small firm effect," Journal of Financial Economics, Elsevier, vol. 12(1), pages 57-79, June.
    24. Schultz, Paul, 1985. " Personal Income Taxes and the January Effect: Small Firm Stock Returns before the War Revenue Act of 1917: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 333-43, March.
    25. 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.
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    27. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    28. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184.
    29. Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November.
    30. Leonard, David C. & Shull, David M., 1996. "Investor sentiment and the closed-end fund evidence: Impact of the January effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(1), pages 117-126.
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    32. Reinganum, Marc R, 1981. "The Arbitrage Pricing Theory: Some Empirical Results," Journal of Finance, American Finance Association, vol. 36(2), pages 313-21, May.
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