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

• المؤلف الرئيسي: Cheah, Chee Yian.
• مؤلفون آخرون: Sen, Nilanjan
• التنسيق: Theses and Dissertations
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Equity
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/7927

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...