Journal of Financial Economics Vol. 12 No. 3 1983
Biases in computed returns
Abstract
Previous estimates of a ‘size effect’ based on daily returns data are biased. The use of quoted closing prices in computing returns on individual stocks imparts an upward bias. Returns computed for buy-and-hold portfolios largely avoid the bias induced by closing prices. Based on such buy-and-hold returns, the full-year size effect is half as large as previously reported, and all of the full-year effect is, on average, due to the month of January.
- DOI
- 10.1016/0304-405x(83)90056-9
- Volume
- 12
- Issue
- 3
- Pages
- 387-404
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref