A Direct Test of Roll's Conjecture on the Firm Size Effect
实证研究发现小公司平均回报率高于大公司，即使考虑了贝塔风险。罗尔猜想这可能源于贝塔估计偏差。本文检验发现偏差方向符合猜想，但幅度太小，不足以解释规模效应。
ABSTRACT Empirical research indicates that small firms earn higher average rates of return than large firms, even after accounting for beta risk. Roll conjectured that the small firm effect might be attributed to improper estimation of security betas. The evidence shows that while the direction of the bias in beta estimation is consistent with Roll's conjecture, the magnitude of the bias appears to be too small to explain the firm size effect.