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Biases in computed returns : An application to the size effect

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Cited by:

  1. M. Reza Bradrania & Maurice Peat & Stephen Satchell, 2022. "Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns," Papers 2211.04695, arXiv.org.
  2. Singh, Ajai K., 1997. "Layoffs and underwritten rights offers," Journal of Financial Economics, Elsevier, vol. 43(1), pages 105-130, January.
  3. Lawrence Fisher & Daniel G. Weaver & Gwendolyn Webb, 2012. "Removing Biases in Computed Returns: An Analysis of Bias in Equally-Weighted Return Indexes of REITs," International Real Estate Review, Global Social Science Institute, vol. 15(1), pages 43-71.
  4. Siddiqi, Hammad, 2015. "Anchoring and Adjustment Heuristic: A Unified Explanation for Equity Puzzles," MPRA Paper 68729, University Library of Munich, Germany.
  5. Wentworth Boynton & Steven Jordan, 2006. "Will the Smart Institutional Investor Always Drive Prices to Fundamental Value?," Yale School of Management Working Papers amz2357, Yale School of Management, revised 19 Nov 2006.
  6. Cameron Truong, 2013. "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 31-48, April.
  7. Carlo Rosa & Giovanni Verga, 2006. "The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market," CEP Discussion Papers dp0764, Centre for Economic Performance, LSE.
  8. Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
  9. 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.
  10. 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.
  11. Siddiqi, Hammad, 2015. "Anchoring Heuristic and the Equity Premium Puzzle," MPRA Paper 68537, University Library of Munich, Germany.
  12. Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2011. "Decomposing short-term return reversal," Staff Reports 513, Federal Reserve Bank of New York.
  13. M. S. B. Aw & R. A. Chatterjee, 2004. "The performance of UK firms acquiring large cross-border and domestic takeover targets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(5), pages 337-349.
  14. Clive Gaunt & Philip Gray, 2003. "Short-Term Autocorrelation in Australian Equities," Australian Journal of Management, Australian School of Business, vol. 28(1), pages 97-117, June.
  15. Kevin Aretz & Marc Aretz, 2016. "Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 19-61, February.
  16. John Y. Campbell & Tarun Ramadorai & Benjamin Ranish, 2019. "Do the Rich Get Richer in the Stock Market? Evidence from India," American Economic Review: Insights, American Economic Association, vol. 1(2), pages 225-240, September.
  17. Cong Chen & Carole Comerton-Forde & David R. Gallagher & Terry S. Walter, 2010. "Investment manager skill in small-cap equities," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 23-49, April.
  18. Seguin, P. J. & Smoller, M. M., 1997. "Share price and mortality: An empirical evaluation of newly listed Nasdaq stocks," Journal of Financial Economics, Elsevier, vol. 45(3), pages 333-363, September.
  19. Higson, Chris & Elliott, Jamie, 1998. "Post-takeover returns: The UK evidence," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 27-46, January.
  20. Koski, Jennifer Lynch, 1998. "Measurement Effects and the Variance of Returns after Stock Splits and Stock Dividends," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 143-162.
  21. Sungjun Cho & Chanaka N. Ganepola & Ian Garrett, 2019. "An analysis of illiquidity in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 962-984, August.
  22. William Ziemba, 2011. "Investing in the turn-of-the-year effect," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 455-472, December.
  23. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research.
  24. Asad Kausar & Richard J. Taffler & Christine Tan, 2009. "The Going‐Concern Market Anomaly," Journal of Accounting Research, Wiley Blackwell, vol. 47(1), pages 213-239, March.
  25. David Chambers & Elroy Dimson & Christophe Spaenjers, 0. "Art as an Asset: Evidence from Keynes the Collector," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(3), pages 490-520.
  26. Pablo Marshall & Eduardo Walker, 2002. "Asymmetric Reaction to Information and Serial Dependence of Short-Run Returns," Journal of Applied Economics, Taylor & Francis Journals, vol. 5(2), pages 273-292, November.
  27. Wolfgang Aussenegg & Andreas Grünbichler, 1999. "Der Size-Effekt am Österreichischen Aktienmarkt," Schmalenbach Journal of Business Research, Springer, vol. 51(7), pages 636-661, July.
  28. Barber, Brad & Lehavy, Reuven & Trueman, Brett & McNichols, Maureen, 2001. "Prophets and Losses: Reassessing the Returns to Analysts' Stock Recommendations," Research Papers 1692, Stanford University, Graduate School of Business.
  29. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
  30. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics.
  31. Doan, Minh Phuong & Sercu, Piet, 2021. "Modelling multiperiod patterns in stock-market reactions to events, with an application to serial acquisitions," International Review of Financial Analysis, Elsevier, vol. 77(C).
  32. Durand, Robert B. & Juricev, Alex & Smith, Gary W., 2007. "SMB -- Arousal, disproportionate reactions and the size-premium," Pacific-Basin Finance Journal, Elsevier, vol. 15(4), pages 315-328, September.
  33. Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  34. Choy, Siu-Kai, 2015. "Retail clientele and option returns," Journal of Banking & Finance, Elsevier, vol. 51(C), pages 26-42.
  35. Semenov, Andrei, 2021. "Measuring the stock's factor beta and identifying risk factors under market inefficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 635-649.
  36. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," NBER Working Papers 7214, National Bureau of Economic Research, Inc.
  37. Pheng Bian Ong & Mohamed Hisham Hanifa & Mansor Mohd Isa, 2018. "Do Firm Size and Value Affect Shareholder Returns in Malaysia?," Capital Markets Review, Malaysian Finance Association, vol. 26(2), pages 53-69.
  38. Christopher S. Armstrong & John E. Core & Daniel J. Taylor & Robert E. Verrecchia, 2011. "When Does Information Asymmetry Affect the Cost of Capital?," Journal of Accounting Research, Wiley Blackwell, vol. 49(1), pages 1-40, March.
  39. Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015. "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, vol. 117(2), pages 350-368.
  40. Tomasz Wójtowicz, 2017. "High-volume return premium on the stock markets in Warsaw and Vienna," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 375-402.
  41. Sanjay Sehgal & Vanita Tripathi, 2005. "Size Effect in Indian Stock Market: Some Empirical Evidence," Vision, , vol. 9(4), pages 27-42, October.
  42. Ammer, John & Brunner, Allan D., 1997. "Are banks market timers or market makers? Explaining foreign exchange trading profits," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 43-60, April.
  43. Michaely, Roni & Thaler, Richard H & Womack, Kent L, 1995. "Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?," Journal of Finance, American Finance Association, vol. 50(2), pages 573-608, June.
  44. 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.
  45. Antonina Waszczuk, 2013. "Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(19), pages 1497-1508, October.
  46. 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.
  47. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang & Xinran Zhang, 2021. "Tracking Retail Investor Activity," Journal of Finance, American Finance Association, vol. 76(5), pages 2249-2305, October.
  48. Ittner, Christopher D. & Larcker, David F. & Taylor, Daniel J., 2009. "The Stock Market's Pricing of Customer Satisfaction," Research Papers 2036, Stanford University, Graduate School of Business.
  49. Gary Gorton & K. Geert Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," NBER Working Papers 10595, National Bureau of Economic Research, Inc.
  50. Eli Ofek & Matthew Richardson, 2000. "The IPO Lock-Up Period: Implications for Market Efficiency And Downward Sloping Demand Curves," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-054, New York University, Leonard N. Stern School of Business-.
  51. Hammad, Siddiqi, 2015. "Capital Asset Pricing Model Adjusted for Anchoring," MPRA Paper 67668, University Library of Munich, Germany.
  52. Praveen Kumar Das & S P Uma Rao, 2011. "Value Premiums And The January Effect: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 1-15.
  53. Fatta Bahadur K.C. Ph. D. & Nayan Krishna Joshi, 2005. "The Nepalese Stock Market: Efficient and Calendar Anomalies," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 17, pages 40-85, April.
  54. Shai Levi & Xiao-Jun Zhang, 2015. "Do Temporary Increases in Information Asymmetry Affect the Cost of Equity?," Management Science, INFORMS, vol. 61(2), pages 354-371, February.
  55. Don Anderson & Anthony Lynch & Nicholas Mathiou, 1990. "Behaviour of CAPM Anomalies in Smaller Firms: Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 1-38, June.
  56. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018. "Illiquidity Premia in the Equity Options Market," Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 811-851.
  57. Dyl, Edward A. & Yuksel, H. Zafer & Zaynutdinova, Gulnara R., 2019. "Price reversals and price continuations following large price movements," Journal of Business Research, Elsevier, vol. 95(C), pages 1-12.
  58. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-040, New York University, Leonard N. Stern School of Business-.
  59. Stefano Ciliberti & Emmanuel S'eri'e & Guillaume Simon & Yves Lemp'eri`ere & Jean-Philippe Bouchaud, 2017. "The "Size Premium" in Equity Markets: Where is the Risk?," Papers 1708.00644, arXiv.org, revised Aug 2017.
  60. Gao, George P. & Moulton, Pamela C. & Ng, David T., 2017. "Institutional ownership and return predictability across economically unrelated stocks," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 45-63.
  61. Terry L. Zivney & Donald J. Thompson II, 1987. "Relative Stock Prices And The Firm Size Effect," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 99-110, June.
  62. Pae, Yuntaek & Sabbaghi, Navid, 2015. "Equally weighted portfolios vs value weighted portfolios: Reasons for differing betas," Journal of Financial Stability, Elsevier, vol. 18(C), pages 203-207.
  63. Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011. "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers 2011:24, Lund University, Department of Economics.
  64. Hahn, Jaehoon & Yoon, Heebin, 2016. "Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 88-106.
  65. Reza Bradrania, M. & Peat, Maurice & Satchell, Stephen, 2015. "Liquidity costs, idiosyncratic volatility and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 394-406.
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