The Anomaly of Size: Does It Really Matter?

Ian Dobbs ()

International Journal of Finance & Economics, 1999, vol. 4, issue 2, 179-92

Abstract: 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. Copyright @ 1999 by John Wiley & Sons, Ltd. All rights reserved.

Date: 1999
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