THE NEGLECTED AND SMALL FIRM EFFECTS

Financial Review - Tập 17 Số 4 - Trang 201-218 - 1982
Avner Arbel1, Paul Strebel1
1State University of New York at Binghamton

Tóm tắt

AbstractThis paper addresses the empirical question of whether the differential attention which companies receive affects the capital asset pricing process. The degree of attention was measured by research concentration rankings based on the number of analysts regularly following the firm's securities. The results suggest: (i) that there is a “neglected firm effect” in terms of superior performance for less researched companies and (ii) that the neglected firm effect persists over and above the small firm effect; namely, the excess returns are not fully attributable to size. The ex‐post capital asset pricing model is unable to account for the differences in return across security research ranking. Several possible explanations for the results are considered but not tested.

Từ khóa


Tài liệu tham khảo

Arbel Avner, 1977, The Relationship Between Risk of Default and Return on Equity, Journal of Financial and Quantitative Analysis, 10.2307/2330339

10.1016/0304-405X(78)90026-0

Banz Rolf.On the Relationship Between the Market Value and the Return of Common Stocks.Proceeding of the Seminar on the Analysis of Security Prices. The Center of Research in Security Prices University of Chicago Vol. 24 No. 1 (May 1979)

Barefield Russel, 1975, The Accuracy of Analysts' Forecasts of Earnings per Share, Journal of Business Research, 3

Black F., 1972, Studies in the Theory of Capital Markets, 79

Brown L. D., 1978, The Superiority of Analyst Forecasts as Measures of Expectations: Evidence from Earnings, Journal of Finance

Brown Philip;Kleidon Allan; andMarsh Terry.Size Related Anomalies in Asset Pricing: Market Imperfection or Omitted Risk Variable.” Unpublished working paper University of Chicago 1979.

Copeland Thomas E., 1979, Financial Theory and Corporate Policy, 182

Drexel Burnham, 1977, Research Concentration in the Standard and Poor's 500

Forbes.The Money Men: Mario Gebelli's Orphan Asylum.” (July 15 1977):69.

10.1016/0165-4101(79)90006-5

10.1016/0304-405X(79)90021-7

10.2307/2490362

Levy Haim, 1978, Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio, American Economic Review, 68, 643

Miller Merton H., 1973, Studies on the Theory of Capital Markets

1976, Securities Research Information

Reilly Frank K., 1978, Investment Analysis and Portfolio Management, 198

10.1016/0304-405X(81)90019-2

Roll Richard, 1982, A Possible Explanation of the Small Firm Effect, Journal of Finance, 36, 879, 10.1111/j.1540-6261.1981.tb04890.x

Standard & Poor's Corporation.Earnings Forecaster(weekly publication).

10.1016/0165-4101(79)90015-6

Thông tin
Thông tin xuất bản

Financial Review

Tập 17 Số 4

201-218

Thông tin tác giả