THE SIZE EFFECT IS PRIMARILY A PRICE EFFECT

The relationship between earnings' yield, market value and return for NYSE common stocks

1983 • 1,692 citations

Misspecification of capital asset pricing

1981 • 1,344 citations

Biases in computed returns

1983 • 846 citations

The effect of estimation risk on optimal portfolio choice

1976 • 551 citations

Friction in the trading process and the estimation of systematic risk

1983 • 362 citations

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

1983 • 362 citations

On computing mean returns and the small firm premium

1983 • 319 citations

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

1982 • 194 citations

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

1977 • 181 citations

PRICE, BETA, AND EXCHANGE LISTING

1973 • 113 citations

On the theory of market information efficiency

1979 • 58 citations