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The anomaly of size: Does it really matter?
Author(s) -
Dobbs Ian M.
Publication year - 1999
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/(sici)1099-1158(199904)4:2<179::aid-ijfe97>3.0.co;2-#
Subject(s) - economics , anomaly (physics) , econometrics , physics , condensed matter physics
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 John Wiley & Sons, Ltd.