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Journal of Financial Economics Vol. 12 No. 1 1983

New evidence on the nature of size-related anomalies in stock prices

Philip Brown1,2,3; Allan W. Kleidon1,2,3; Terry A. Marsh1,2,3

1 The University of Western Australia · 2 Massachusetts Institute of Technology · 3 Stanford University

open access

Abstract

This paper is concerned with the size-related anomalies in stock returns reported by Banz (1981) and Reinganum (1981). They showed that small firms have tended to yield returns greater than those predicted by the traditional CAPM. We find that the size effect is linear in the logarithm of size, but reject the hypothesis that the ex ante excess return attributable to size is stable through time. We briefly analyze the Seemingly Unrelated Regression Model (SURM) and a two-step procedure as two alternative estimators of the size effect. Due to the instability of the effect, we find that the estimates are sensitive to the time period studied.

DOI
10.1016/0304-405x(83)90026-0
Volume
12
Issue
1
Pages
33-56
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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