An investigation of industry classification as a proxy for information availability and the small firm effect

Brady, Stephen R. (1988). An investigation of industry classification as a proxy for information availability and the small firm effect Honours Thesis, Dept. of Commerce, The University of Queensland.

       
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Author Brady, Stephen R.
Thesis Title An investigation of industry classification as a proxy for information availability and the small firm effect
School, Centre or Institute Dept. of Commerce
Institution The University of Queensland
Publication date 1988
Thesis type Honours Thesis
Total pages 131
Language eng
Subjects 14 Economics
Formatted abstract This thesis documents the small firm anomaly, whereby, returns above those predicted by the Capital Asset Pricing Model (CAPM) can be earned by constructing portfolios based on firm size. The likely cause is omitted variables from specification of the CAPM. It is tested whether the risk arising from the different return generating processes of industries can help to explain the anomalous results. Data limitations prevent this question being answered, however, industry regularities in earnings are confirmed.

 
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Created: Sat, 06 Nov 2010, 12:00:59 EST by Ning Jing on behalf of The University of Queensland Library