On computing mean returns and the small firm premium
| ISSN: |
0304-405X
|
|---|---|
| Source: |
Elsevier Journal Backfiles on ScienceDirect 1907 - 2002
|
| Topics: |
Economics
|
| Type of Medium: |
Electronic Resource
|
| URL: |
| _version_ | 1798291812729749504 |
|---|---|
| autor | Roll, R. |
| autorsonst | Roll, R. |
| book_url | http://dx.doi.org/10.1016/0304-405X(83)90055-7 |
| datenlieferant | nat_lic_papers |
| fussnote | The mean return computational method has a substantial effect on the estimated small firm premium. The buy-and-hold method, which best mimics actual investment experience, produces an estimated small-firm premium only one-half as large as the arithmetic and re-balanced methods which are often used in empirical studies. Similar biases can be expected in mean returns when securities are classified by any variable related to trading volume. |
| hauptsatz | hsatz_simple |
| identnr | NLZ176833242 |
| issn | 0304-405X |
| journal_name | Journal of Financial Economics |
| materialart | 1 |
| package_name | Elsevier |
| publikationsort | Amsterdam |
| publisher | Elsevier |
| reference | 12 (1983), S. 371-386 |
| search_space | articles |
| shingle_author_1 | Roll, R. |
| shingle_author_2 | Roll, R. |
| shingle_author_3 | Roll, R. |
| shingle_author_4 | Roll, R. |
| shingle_catch_all_1 | Roll, R. On computing mean returns and the small firm premium 0304-405X 0304405X Elsevier |
| shingle_catch_all_2 | Roll, R. On computing mean returns and the small firm premium 0304-405X 0304405X Elsevier |
| shingle_catch_all_3 | Roll, R. On computing mean returns and the small firm premium 0304-405X 0304405X Elsevier |
| shingle_catch_all_4 | Roll, R. On computing mean returns and the small firm premium 0304-405X 0304405X Elsevier |
| shingle_title_1 | On computing mean returns and the small firm premium |
| shingle_title_2 | On computing mean returns and the small firm premium |
| shingle_title_3 | On computing mean returns and the small firm premium |
| shingle_title_4 | On computing mean returns and the small firm premium |
| sigel_instance_filter | dkfz geomar wilbert ipn albert fhp |
| source_archive | Elsevier Journal Backfiles on ScienceDirect 1907 - 2002 |
| timestamp | 2024-05-06T08:38:35.130Z |
| titel | On computing mean returns and the small firm premium |
| titel_suche | On computing mean returns and the small firm premium The mean return computational method has a substantial effect on the estimated small firm premium. The buy-and-hold method, which best mimics actual investment experience, produces an estimated small-firm premium only one-half as large as the arithmetic and re-balanced methods which are often used in empirical studies. Similar biases can be expected in mean returns when securities are classified by any variable related to trading volume. |
| topic | Q |
| uid | nat_lic_papers_NLZ176833242 |