THE RELATION BETWEEN THE RETURN INTERVAL AND BETAS - IMPLICATIONS FOR THE SIZE EFFECT

被引:92
作者
HANDA, P
KOTHARI, SP
WASLEY, C
机构
[1] UNIV ROCHESTER,ROCHESTER,NY 14627
[2] WASHINGTON UNIV,ST LOUIS,MO 63130
关键词
D O I
10.1016/0304-405X(89)90006-8
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:79 / 100
页数:22
相关论文
共 22 条
[2]   BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT [J].
BLUME, ME ;
STAMBAUGH, RF .
JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (03) :387-404
[3]   NEW EVIDENCE ON THE NATURE OF SIZE-RELATED ANOMALIES IN STOCK-PRICES [J].
BROWN, P ;
KLEIDON, AW ;
MARSH, TA .
JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (01) :33-56
[4]   AN UNCONDITIONAL ASSET-PRICING TEST AND THE ROLE OF FIRM SIZE AS AN INSTRUMENTAL VARIABLE FOR RISK [J].
CHAN, KC ;
CHEN, NF .
JOURNAL OF FINANCE, 1988, 43 (02) :309-325
[5]  
CHOW K, 1983, ECONOMETRICS
[6]   FRICTION IN THE TRADING PROCESS AND THE ESTIMATION OF SYSTEMATIC-RISK [J].
COHEN, KJ ;
HAWAWINI, GA ;
MAIER, SF ;
SCHWARTZ, RA ;
WHITCOMB, DK .
JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (02) :263-278
[7]  
DOUGLAS GW, 1969, YALE ECON ESSAYS, V9, P3
[8]   RISK, RETURN, AND EQUILIBRIUM - EMPIRICAL TESTS [J].
FAMA, EF ;
MACBETH, JD .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :607-636
[9]   MULTIVARIATE TESTS OF FINANCIAL MODELS - A NEW APPROACH [J].
GIBBONS, MR .
JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (01) :3-27
[10]  
Jensen M. C., 1972, CAPITAL ASSET PRICIN