✦ LIBER ✦

The anomaly of size: Does it really matter?

✍ Scribed by Ian M. Dobbs

Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 176 KB
Volume: 4
Category: Article
ISSN: 1076-9307
DOI: 10.1002/(sici)1099-1158(199904)4:2<179::aid-ijfe97>3.0.co;2-#

No coin nor oath required. For personal study only.

✦ Synopsis

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 variables is necessarily misspecified) and follows this by assessing the likely quantitative magnitude of this type of bias in a simulation study calibrated on US data.

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