SIZE AND EARNINGS/PRICE RATIO ANOMALIES: ONE EFFECT OR TWO?
研究股票收益与公司规模、市盈率的关系，发现两者均影响收益且与一月效应相关，并重新审视Reinganum和Basu的矛盾结论，指出方法选择和样本差异是原因。
Studies of size and earnings/price ratio effects together have produced contradictory results. Does one effect subsume the other or are there two separate effects? This paper demonstrates that equity returns are related to both size and earnings/price ratio as well as the month of January. Reinganum [20] and Basu [4] are reexamined to find the reasons for their contradictory results. Reinganum's finding that size subsumes earnings/price ratio is caused by a fortuitous choice of methods. Basu's finding that earnings/price ratio subsumes size appears to be sample-specific. This paper examines the implied standard deviation (ISD) estimated from transactions data on options, using the Black-Scholes pricing model. It was found that the distribution of the ISD is symmetric, though not normal. Also, the ISD based on the last daily observation deviates significantly from the daily average ISD. It is suggested that the daily average is a more reliable estimate of the standard deviation.