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Citations for "On computing mean returns and the small firm premium"

by Roll, Richard

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  1. Ball, Ray & Kothari, S. P. & Shanken, Jay, 1995. "Problems in measuring portfolio performance An application to contrarian investment strategies," Journal of Financial Economics, Elsevier, vol. 38(1), pages 79-107, May.
  2. Michael E. Drew & Madhu Veeraraghavan, 2001. "Asset Pricing In The Asian Region," School of Economics and Finance Discussion Papers and Working Papers Series 094, School of Economics and Finance, Queensland University of Technology.
  3. Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003. "Asset Pricing in China: Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 128, School of Economics and Finance, Queensland University of Technology.
  4. Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  5. Higson, Chris & Elliott, Jamie, 1998. "Post-takeover returns: The UK evidence," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 27-46, January.
  6. Richard Kum-yew Lai, 2005. "Inventory and the Stock Market," Finance 0509006, EconWPA.
  7. Branch, Ben & Echevarria, David P., 1998. "The bid-ask bias and the size effect: A test of the Blume-Stambaugh bid-ask bias effect hypothesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(1), pages 129-148.
  8. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
  9. Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence, 2013. "The January effect for individual corporate bonds," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 69-77.
  10. Jeremy Grant & Thomas Kirchmaier, 2004. "Corporate ownership structure and performance in Europe," LSE Research Online Documents on Economics 19960, London School of Economics and Political Science, LSE Library.
  11. Paul Brockman & David Michayluk, 1998. "Individual versus institutional investors and the weekend effect," Journal of Economics and Finance, Springer, vol. 22(1), pages 71-85, March.
  12. 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 251-69 , Fall.
  13. Maher Kooli & Jean-Marc Suret, 2001. "The Aftermarket Performance of Initial Public Offerings in Canada," CIRANO Working Papers 2001s-52, CIRANO.
  14. Lawrence Fisher & Daniel Weaver & Gwendolyn Webb, 2010. "Removing biases in computed returns," Review of Quantitative Finance and Accounting, Springer, vol. 35(2), pages 137-161, August.
  15. Teppo Martikainen, 1991. "The impact of infrequent trading on betas based on daily, weekly and monthly return intervals : empirical evidence with Finnish data," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 52-64, Spring.
  16. Chan, Wesley S., 2003. "Stock price reaction to news and no-news: drift and reversal after headlines," Journal of Financial Economics, Elsevier, vol. 70(2), pages 223-260, November.
  17. Chen, Tsung-Cheng & Chien, Chin-Chen, 2011. "Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 208-229, April.
  18. Jeremy Grant & Thomas Kirchmaier, 2004. "Corporate Ownership Structure and Performance in Europe," CEP Discussion Papers dp0631, Centre for Economic Performance, LSE.
  19. Tan, Ruth S. K. & Chng, P. L. & Tong, Y. H., 2002. "Private placements and rights issues in Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 10(1), pages 29-54, January.
  20. Kathryn Graddy & Jonathan Hamilton & Rachel Pownall, 2012. "Repeat‐Sales Indexes: Estimation without Assuming that Errors in Asset Returns Are Independently Distributed," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 131-166, 03.
  21. Singh, Ajai K., 1997. "Layoffs and underwritten rights offers," Journal of Financial Economics, Elsevier, vol. 43(1), pages 105-130, January.
  22. Kohers, Theodor & Pandey, Vivek & Kohers, Gerald, 1997. "Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 523-545.
  23. Gu, Anthony Yanxiang, 2003. "The declining January effect: evidences from the U.S. equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 395-404.
  24. Eraker, Bjørn & Ready, Mark, 2015. "Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks," Journal of Financial Economics, Elsevier, vol. 115(3), pages 486-504.
  25. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, EconWPA, revised 23 Jul 2005.
  26. Thomas Kirchmaier, 2003. "The Performance Effects of European Demergers," CEP Discussion Papers dp0566, Centre for Economic Performance, LSE.
  27. Gaunt, Clive, 2000. "Overreaction in the Australian equity market: 1974-1997," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 375-398, July.
  28. Shum, Wai Cheong & Tang, Gordon Y.N., 2005. "Common risk factors in returns in Asian emerging stock markets," International Business Review, Elsevier, vol. 14(6), pages 695-717, December.
  29. 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.
  30. Dhatt, Manjeet S. & Kim, Yong H. & Mukherji, Sandip, 1996. "Seasoned equity issues: The Korean experience," Pacific-Basin Finance Journal, Elsevier, vol. 4(1), pages 31-43, May.
  31. Kothari, S. P. & Warner, Jerold B., 1997. "Measuring long-horizon security price performance," Journal of Financial Economics, Elsevier, vol. 43(3), pages 301-339, March.
  32. Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, vol. 43(3), pages 341-372, March.
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