Keywords

EconomicsEconometricsStock (firearms)Capital asset pricing modelEstimatorLogarithmEx-anteExcess returnFinancial economicsStatisticsMathematics

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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1

Michael J. Brennan , Tarun Chordia , Avanidhar Subrahmanyam
1998 Journal of Financial Economics 1264 citations

Publication Info

Year
1983
Type
article
Volume
12
Issue
1
Pages
33-56
Citations
344
Access
Closed

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Philip Brown, Allan W. Kleidon, Terry A. Marsh (1983). New evidence on the nature of size-related anomalies in stock prices. Journal of Financial Economics , 12 (1) , 33-56. https://doi.org/10.1016/0304-405x(83)90026-0

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DOI
10.1016/0304-405x(83)90026-0