Investigation into the disappearing small stock premium: time varying returns or arbitrage?

The objective of this thesis is to investigate the disappearance of an anomaly, the size effect by the mid-1980's, specifically looking at the efficient arbitrage of a narrowly- shared small-cap risk and the time-varying risk and return hypotheses as the two most plausible candidates to explain...

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Bibliographic Details
Main Author:	Cheah, Chee Yian.
Other Authors:	Sen, Nilanjan
Format:	Theses and Dissertations
Published:	2008
Subjects:	DRNTU::Business::Finance::Equity
Online Access:	http://hdl.handle.net/10356/7927
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-7927
record_format	dspace
spelling	sg-ntu-dr.10356-79272024-01-12T10:29:03Z Investigation into the disappearing small stock premium: time varying returns or arbitrage? Cheah, Chee Yian. Sen, Nilanjan Nanyang Business School Sawicki, Julia DRNTU::Business::Finance::Equity The objective of this thesis is to investigate the disappearance of an anomaly, the size effect by the mid-1980's, specifically looking at the efficient arbitrage of a narrowly- shared small-cap risk and the time-varying risk and return hypotheses as the two most plausible candidates to explain for the disappearance of the size effect. Master of Business 2008-09-18T07:53:43Z 2008-09-18T07:53:43Z 2005 2005 Thesis http://hdl.handle.net/10356/7927 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Equity
spellingShingle	DRNTU::Business::Finance::Equity Cheah, Chee Yian. Investigation into the disappearing small stock premium: time varying returns or arbitrage?
description	The objective of this thesis is to investigate the disappearance of an anomaly, the size effect by the mid-1980's, specifically looking at the efficient arbitrage of a narrowly- shared small-cap risk and the time-varying risk and return hypotheses as the two most plausible candidates to explain for the disappearance of the size effect.
author2	Sen, Nilanjan
author_facet	Sen, Nilanjan Cheah, Chee Yian.
format	Theses and Dissertations
author	Cheah, Chee Yian.
author_sort	Cheah, Chee Yian.
title	Investigation into the disappearing small stock premium: time varying returns or arbitrage?
title_short	Investigation into the disappearing small stock premium: time varying returns or arbitrage?
title_full	Investigation into the disappearing small stock premium: time varying returns or arbitrage?
title_fullStr	Investigation into the disappearing small stock premium: time varying returns or arbitrage?
title_full_unstemmed	Investigation into the disappearing small stock premium: time varying returns or arbitrage?
title_sort	investigation into the disappearing small stock premium: time varying returns or arbitrage?
publishDate	2008
url	http://hdl.handle.net/10356/7927
_version_	1789483180349194240

Investigation into the disappearing small stock premium: time varying returns or arbitrage?

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