A Possible Explanation of the Small Firm Effect
近期实证发现小公司股票平均回报高于大公司，但风险度量有误，原因是交易不频繁导致组合回报自相关，其他异常预测因子也可能源于此虚假关系。
ABSTRACT Recent empirical studies have found that small listed firms yield higher average returns than large firms even when their riskiness is equal. The riskiness of small firms, however, has been improperly measured. Apparently, the error is due to auto‐correlation in portfolio returns caused by infrequent trading. Other anomalous predictors of riskadjusted returns, such as price/earnings ratios and dividend yields, may also derive some of their apparent power from this spurious source.