Differential information and the small firm effect

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Measuring security price performance

1980 • 3,397 citations

Applied Statistical Decision Theory

1962 • 2,252 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements

1985 • 1,086 citations

A STATISTICAL PARADOX

1957 • 947 citations

Differential Information and Security Market Equilibrium

1985 • 944 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

Applied Statistical Decision Theory.

1962 • 754 citations

“HOT ISSUE” MARKETS

1975 • 607 citations

The association between accounting earnings and security returns for large and small firms

1987 • 565 citations

Determinants of Risk Premiums on Corporate Bonds

1959 • 465 citations

Vas Ist Das?

1983 • 433 citations

A Possible Explanation of the Small Firm Effect

1981 • 422 citations

New evidence on the nature of size-related anomalies in stock prices

1983 • 362 citations

Stock return seasonalities and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence

2011 • 347 citations

Estimation Risk and Optimal Portfolio Choice.

1981 • 326 citations

On computing mean returns and the small firm premium

1983 • 319 citations

Estimation Risk and Optimal Portfolio Choice.

1980 • 307 citations

Optimal stock trading with personal taxes

1984 • 301 citations

Stock return seasonalities and the tax-loss selling hypothesis

1983 • 264 citations

A Direct Test of Roll's Conjecture on the Firm Size Effect

1982 • 194 citations

"Hot Issue" Markets

1975 • 193 citations

The effect of limited information and estimation risk on optimal portfolio diversification

1977 • 181 citations

THE NEGLECTED AND SMALL FIRM EFFECTS

1982 • 177 citations

A Possible Explanation of the Small Firm Effect

1981 • 92 citations

Information Diversity and Market Behavior

1982 • 84 citations

A Direct Test of Roll's Conjecture on the Firm Size Effect

1982 • 43 citations

Investor Preference for Large Firms: New Evidence on Economies of Size

1983 • 42 citations

Effects of Uncertain and Nonstationary Parameters Upon Capital Market Equilibrium Conditions

1978 • 32 citations

Information Diversity and Market Behavior

1982 • 17 citations

An Analysis of the Effects of a Multi-Tiered Stock Market

1981 • 3 citations