CaltechAUTHORS
  A Caltech Library Service

On computing mean returns and the small firm premium

Roll, Richard (1983) On computing mean returns and the small firm premium. Journal of Financial Economics, 12 (3). pp. 371-386. ISSN 0304-405X. https://resolver.caltech.edu/CaltechAUTHORS:20190501-095527862

[img] PDF - Published Version
See Usage Policy.

795kB

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20190501-095527862

Abstract

The mean return computational method has a substantial effect on the estimated small firm premium. The buy-and-hold method, which best mimics actual investment experience, produces an estimated small-firm premium only one-half as large as the arithmetic and re-balanced methods which are often used in empirical studies. Similar biases can be expected in mean returns when securities are classified by any variable related to trading volume.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.1016/0304-405X(83)90055-7DOIArticle
Additional Information:© 1983 Published by Elsevier B.V. Comments and suggestions by Gordon Alexander, Kenneth French, Stephen Ross and the referee, Allan Kleidon, are gratefully acknowledged.
Issue or Number:3
Record Number:CaltechAUTHORS:20190501-095527862
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20190501-095527862
Official Citation:Richard Roll, On computing mean returns and the small firm premium, Journal of Financial Economics, Volume 12, Issue 3, 1983, Pages 371-386, ISSN 0304-405X, https://doi.org/10.1016/0304-405X(83)90055-7. (http://www.sciencedirect.com/science/article/pii/0304405X83900557)
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:95130
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:01 May 2019 19:00
Last Modified:03 Oct 2019 21:10

Repository Staff Only: item control page