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ArticleOn computing mean returns and the small firm premium

Richard W. Roll1983

Article1983

On computing mean returns and the small firm premium

Richard W. Roll

300 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1981The relationship between return and market value of common stocks 1972Capital Market Equilibrium with Restricted Borrowing 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1979Risk measurement when shares are subject to infrequent trading 1977Estimating betas from nonsynchronous data 1983Size-related anomalies and stock return seasonality 1981Misspecification of capital asset pricing 1983Biases in computed returns

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1986Event study methodologies and the size effect 1997On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressions 1999Murphy's Law and Market Anomalies 2010Liquidity biases in asset pricing tests☆1983Size and stock returns, and other empirical regularities 1988An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

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1995Chapter 17 On the predictability of common stock returns: World-wide evidencechapter · 11 shared references 2011Beta, size and value effects on the JSE, 1994–2007article · 9 shared references 1984Volume and turn-of-the-year behaviorarticle · 8 shared references 1983Transaction costs and the small firm effectarticle · 7 shared references 1983New evidence on the nature of size-related anomalies in stock pricesarticle · 7 shared references 2011Is size dead? A review of the size effect in equity returnsarticle · 7 shared references

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Year1983

Typearticle

Published1983-11-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations300

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(83)90055-7

openalex_workW2011806822

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1988

Some New Filter Rule Tests: Methods and Results

1989The relation between the return interval and betas