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| Author: | Krueger, T. M. Johnson, K. H. |
| Title: | Parameter specifications that make little difference in anomaly studies. |
| Journal: | Journal of Business Finance and Accounting
1991 : JUN, VOL. 18:4, p. 567-582 |
| Index terms: | RATE OF RETURN STOCK MARKETS BETA FACTOR |
| Language: | eng |
| Abstract: | The importance of alternative specifications of three market model inputs is examined. First, the significance of anomaly explanatory power is compared when security returns are calculated gross and net of transaction costs. Second, the influence on beta-adjusted returns is studied. Third, the importance of market proxy selection is investigated. The importance of parameter specification is examined within the context of testing the potentially anomalous nature of firm size, price/earnings ratios, and value line's timeliness rankings. Empirical results are presented following a brief review of anomaly literature. |
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