A note on the effect of controlling for transaction costs on the small firm anomaly

Additional Australian evidence

Michael Aitken*, George Ferris

*Corresponding author for this work

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

This study provides additional evidence on the small firm anomaly using Australian data. The evidence is acquired after adjusting the CAPM for transaction costs. The study uses actual transaction costs circumventing estimation problems apparent in previous research. Results indicate that the anomaly can be removed over an investment horizon of two to three months.

Original languageEnglish
Pages (from-to)1195-1202
Number of pages8
JournalJournal of Banking and Finance
Volume15
Issue number6
DOIs
Publication statusPublished - 1991
Externally publishedYes

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