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Extensivity and the thermodynamic limit: Why size really does matter

✍ Scribed by D.P. Sheehan; D.H.E. Gross

Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
314 KB
Volume
370
Category
Article
ISSN
0378-4371

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✍ Ian M. Dobbs 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 176 KB 👁 2 views

Recent work on the 'size effect' suggests that size-related regularities in asset prices (such as size, leverage, book to market equity, etc.) should not be regarded as anomalies. This paper first clarifies the argument (by showing why the OLS cross-section regression incorporating size-related vari