search query: @author Smith, R. L. / total: 21
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| Author: | Booth, J. R. Smith, R. L. |
| Title: | An examination of the small-firm effect on the basis of skewness preference. |
| Journal: | Journal of Financial Research
1987 : SPRING, VOL. 10:1, p. 77-86 |
| Index terms: | CAPITAL ASSET PRICING FINANCIAL MODELS SMALL BUSINESS STOCHASTIC PROCESSES |
| Language: | eng |
| Abstract: | A test of the hypothesis that small-firm effect is explainable based on investor preference for positive skewness, with an extension of stochastic dominance methodology to portfolios that include variable weights of investment in a reckless asset, indicating that small- firm portfolios stochastically dominate all other portfolios. The result, derived from 19 years of monthly returns, outlines tax effects, benchmark errors and incorrect assumptions of capital asset pricing models concerning risk aversion. |
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