A NOTE ON THE EFFECT OF CONTROLLING FOR TRANSACTION COSTS ON THE SMALL FIRM ANOMALY - ADDITIONAL AUSTRALIAN EVIDENCE

被引：3

作者：

AITKEN, M

FERRIS, G

机构：

[1] University of New South Wales, Kensington, Sydney

来源：

JOURNAL OF BANKING & FINANCE | 1991年 / 15卷 / 06期

关键词：

D O I：

10.1016/0378-4266(91)90058-T

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study provides additional evidence on the small firm anomaly using Australian data. The evidence is acquired after adjusting the CAPM for transaction costs. The study uses actual transaction costs circumventing estimation problems apparent in previous research. Results indicate that the anomaly can be removed over an investment horizon of two to three months. © 1991.

引用

页码：1195 / 1202

页数：8

共 9 条

[1]

[Anonymous], 1988, AUSTR J MANAGEMENT

[2]

*AUSTR RES BANK, RES BANK B

[3] THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON-STOCKS [J].