Published November 1983
| Published
Journal Article
Open
On computing mean returns and the small firm premium
- Creators
- Roll, Richard
Chicago
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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.
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.Attached Files
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Additional details
- Eprint ID
- 95130
- Resolver ID
- CaltechAUTHORS:20190501-095527862
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2019-05-01Created from EPrint's datestamp field
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2021-11-16Created from EPrint's last_modified field