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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| Format: | Theses and Dissertations |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/10356/7927 |
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| Institution: | Nanyang Technological University |