메뉴 건너뛰기




Volumn 36, Issue 1, 2011, Pages 59-73

The economic significance of trading based on the size effect in Australia

Author keywords

economic significance; size effect

Indexed keywords


EID: 79953763499     PISSN: 03128962     EISSN: 13272020     Source Type: Journal    
DOI: 10.1177/0312896210388860     Document Type: Article
Times cited : (3)

References (30)
  • 1
    • 0010023511 scopus 로고
    • The relation between return and market value of common stocks
    • Banz RW (1981) The relation between return and market value of common stocks. Journal of Financial Economics 9(1): 3-18.
    • (1981) Journal of Financial Economics , vol.9 , Issue.1 , pp. 3-18
    • Banz, R.W.1
  • 3
    • 84977715787 scopus 로고
    • The January anomaly: effects of low share price, transaction costs and bid-ask bias
    • Bhardwaj K. and Brooks LD (1992) The January anomaly: effects of low share price, transaction costs and bid-ask bias. Journal of Finance 47(2): 553-575.
    • (1992) Journal of Finance , vol.47 , Issue.2 , pp. 553-575
    • Bhardwaj, K.1    Brooks, L.D.2
  • 4
    • 0001651803 scopus 로고
    • Biases in computed returns: an application to the size effect
    • Blume ME and Stambaugh RF (1983) Biases in computed returns: an application to the size effect. Journal of Financial Economics 12(3): 387-404.
    • (1983) Journal of Financial Economics , vol.12 , Issue.3 , pp. 387-404
    • Blume, M.E.1    Stambaugh, R.F.2
  • 5
    • 0000069353 scopus 로고    scopus 로고
    • Alternative Factor specification security characteristics, and the cross-section of expected stock returns
    • Brennan MJ, Chordia T. and Subrahmanyam A. (1998) Alternative Factor specification security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics 49: 345-373.
    • (1998) Journal of Financial Economics , vol.49 , pp. 345-373
    • Brennan, M.J.1    Chordia, T.2    Subrahmanyam, A.3
  • 7
    • 0001140779 scopus 로고    scopus 로고
    • Book-to-market, firm size, and the turn-of-the-year effect: evidence from pacific-basin emerging markets
    • Chui A. and Wei K. (1998) Book-to-market, firm size, and the turn-of-the-year effect: evidence from pacific-basin emerging markets. Pacific-Basin Financial Journal 6(3-4): 275-293.
    • (1998) Pacific-Basin Financial Journal , vol.6 , Issue.3-4 , pp. 275-293
    • Chui, A.1    Wei, K.2
  • 8
    • 0004829270 scopus 로고
    • Event study methodologies and the size effect: the case of UK press recommendations
    • Dimson E. and Marsh P. (1986) Event study methodologies and the size effect: the case of UK press recommendations. Journal of Financial Economics 17(1): 113-142.
    • (1986) Journal of Financial Economics , vol.17 , Issue.1 , pp. 113-142
    • Dimson, E.1    Marsh, P.2
  • 10
    • 0346207692 scopus 로고    scopus 로고
    • Market efficiency, long-term returns, and behavioural finance
    • Fama EF (1998) Market efficiency, long-term returns, and behavioural finance. Journal of Financial Economics 49(3): 283-306.
    • (1998) Journal of Financial Economics , vol.49 , Issue.3 , pp. 283-306
    • Fama, E.F.1
  • 11
    • 0043049162 scopus 로고    scopus 로고
    • The impact of share price on seasonality and size anomalies in Australian equity returns
    • Gaunt C., Gray P. and McIvor J. (2000) the impact of share price on seasonality and size anomalies in Australian equity returns. Accounting and Finance 40(1): 33-50.
    • (2000) Accounting and Finance , vol.40 , Issue.1 , pp. 33-50
    • Gaunt, C.1    Gray, P.2    McIvor, J.3
  • 16
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: implication for stock market efficiency
    • Jegadeesh N. and Titman S. (1993) Returns to buying winners and selling losers: implication for stock market efficiency. Journal of Finance 48(1): 65-91.
    • (1993) Journal of Finance , vol.48 , Issue.1 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 17
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of momentum strategies: an evaluation of alternative explanations
    • Jegadeesh N. and Titman S. (2001) Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 56(2): 699-720.
    • (2001) Journal of Finance , vol.56 , Issue.2 , pp. 699-720
    • Jegadeesh, N.1    Titman, S.2
  • 19
    • 48749147730 scopus 로고
    • Size-related anomalies and stock return seasonality: further empirical evidence
    • Keim DB (1983) Size-related anomalies and stock return seasonality: further empirical evidence. Journal of Financial Economics 12(1): 13-32.
    • (1983) Journal of Financial Economics , vol.12 , Issue.1 , pp. 13-32
    • Keim, D.B.1
  • 21
    • 3042771207 scopus 로고    scopus 로고
    • The efficient market hypothesis and its critics
    • Malkiel BG (2003) The efficient market hypothesis and its critics. Journal of Economic Perspectives 17(1): 59-82.
    • (2003) Journal of Economic Perspectives , vol.17 , Issue.1 , pp. 59-82
    • Malkiel, B.G.1
  • 22
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent
    • Newey WK and West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent. Econometrica 55(3): 703-708.
    • (1987) Econometrica , vol.55 , Issue.3 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 23
    • 77950248059 scopus 로고    scopus 로고
    • Interaction of size, book-to-market and momentum effects in Australia
    • O'Brien M., Brailsford T. and Gaunt C. (2010) Interaction of size, book-to-market and momentum effects in Australia. Accounting & Finance 50(1): 197-220.
    • (2010) Accounting & Finance , vol.50 , Issue.1 , pp. 197-220
    • O'Brien, M.1    Brailsford, T.2    Gaunt, C.3
  • 24
    • 0002686972 scopus 로고
    • Seasonality in Australian capital markets: market efficiency and empirical issues
    • Officer RR (1975) Seasonality in Australian capital markets: market efficiency and empirical issues. Journal of Financial Economics 2(1): 29-51.
    • (1975) Journal of Financial Economics , vol.2 , Issue.1 , pp. 29-51
    • Officer, R.R.1
  • 25
    • 84993839712 scopus 로고
    • Financial distress and corporate performance
    • Opler T. and Titman S. (1994) Financial distress and corporate performance. Journal of Finance 49(3): 1015-1040.
    • (1994) Journal of Finance , vol.49 , Issue.3 , pp. 1015-1040
    • Opler, T.1    Titman, S.2
  • 26
    • 34248494199 scopus 로고
    • Misspecification of capital asset pricing: empirical anomalies based on earnings' yields and market values
    • Reinganum MR (1981a) Misspecification of capital asset pricing: empirical anomalies based on earnings' yields and market values. Journal of Financial Economics 9(1): 19-46.
    • (1981) Journal of Financial Economics , vol.9 , Issue.1 , pp. 19-46
    • Reinganum, M.R.1
  • 27
    • 84977354018 scopus 로고
    • The Arbitrage pricing theory: some empirical results
    • Reinganum MR (1981b) The Arbitrage pricing theory: some empirical results. Journal of Finance 36(2): 313-321.
    • (1981) Journal of Finance , vol.36 , Issue.2 , pp. 313-321
    • Reinganum, M.R.1
  • 28
    • 84977324321 scopus 로고
    • A possible explanation of the small firm effect
    • Roll R. (1981) A possible explanation of the small firm effect. Journal of Finance 36(4): 879-888.
    • (1981) Journal of Finance , vol.36 , Issue.4 , pp. 879-888
    • Roll, R.1
  • 29
    • 48749148920 scopus 로고
    • Transaction costs and the small firm effect: a comment
    • Schultz P. (1983) Transaction costs and the small firm effect: a comment. Journal of Financial Economics 12(1): 81-88.
    • (1983) Journal of Financial Economics , vol.12 , Issue.1 , pp. 81-88
    • Schultz, P.1
  • 30


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.