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Dividend Policy and Valuation: Theory and Tests: Discussions
M. R. Gibbons, Dividend Policy and Valuation: Theory and Tests: Discussions, The Journal of Finance, Vol. 37, No. 2, Papers and Proceedings of the Fortieth Annual Meeting of the American Finance Association, Washington, D.C., December 28-30, 1981 (May, 1982), pp. 474-476
Session Topic: Issues in Corporate Finance: Discussion
R. A. Taggart, Jr., Session Topic: Issues in Corporate Finance: Discussion, The Journal of Finance, Vol. 37, No. 2, Papers and Proceedings of the Fortieth Annual Meeting of the American Finance Association, Washington, D.C., December 28-30, 1981 (May, 1982), pp. 321-323
DISCUSSION
A Direct Test of Roll's Conjecture on the Firm Size Effect
Empirical research indicates that small firms earn higher average rates of return than large firms, even after accounting for beta risk. Roll conjectured that the small firm effect might be attributed to improper estimation of security betas. The evidence shows that while the direction of the bias in beta estimation is consistent with Roll's conjecture, the magnitude of the bias appears to be too small to explain the firm size effect.
DISCUSSION
The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process
Using a test statistic which specifically allows for parameter shifts over time, we investigate the time‐variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short‐term reversal phenomenon is reported.
The Regulation of Financial and Other Futures Markets: Discussion
F. R. Edwards, The Regulation of Financial and Other Futures Markets: Discussion, The Journal of Finance, Vol. 37, No. 2, Papers and Proceedings of the Fortieth Annual Meeting of the American Finance Association, Washington, D.C., December 28-30, 1981 (May, 1982), pp. 517-519
A General Equilibrium Money and Banking Paradigm: Discussion
R. E. Lombra, A General Equilibrium Money and Banking Paradigm: Discussion, The Journal of Finance, Vol. 37, No. 2, Papers and Proceedings of the Fortieth Annual Meeting of the American Finance Association, Washington, D.C., December 28-30, 1981 (May, 1982), pp. 393-395
The Time-Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Process
Using a test statistic which specifically allows for parameter shifts over time, we investigate the time-variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short-term reversal phenomenon is reported.