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The survivorship bias, share price effect, and small firm effect in Canadian markets
Author(s) -
Elfakhani Said,
Wei Jason
Publication year - 2003
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/j.rfe.2003.09.002
Subject(s) - survivorship curve , economics , demographic economics , monetary economics , biology , genetics , cancer
After controlling for survivorship bias, we examine the relation between average returns, firm size, and price levels for Canadian stocks during the 1975–1994 period. Our findings indicate that there is a significant inverse share price level effect in Canadian markets. When we compare the results of the overall sample with the groups of surviving firms and delisted stocks, the latter group shows strong performance for large‐size, high‐priced stocks. Evidence that supports an independent size effect is less clear for Canadian stocks. A small size effect exists only among the higher share price denominations, which suggests a confounded size‐price effect. Although the delisted group returns are statistically different from those of the survivor and the overall groups, which implies some evidence of survivorship bias, the difference between the survivor group and the overall group is weak at best.