The anomaly of size: Does it really matter?
这篇论文澄清了资产定价中规模相关变量（如公司规模、杠杆率、账面市值比）不应被视为异常的原因，并通过基于美国数据的模拟研究评估了这种偏差的量化程度。
Recent work on the ‘size effect’ suggests that size-related regularities in asset prices (such as size, leverage, book to market equity, etc.) should not be regarded as anomalies. This paper first clarifies the argument (by showing why the OLS cross-section regression incorporating size-related variables is necessarily misspecified) and follows this by assessing the likely quantitative magnitude of this type of bias in a simulation study calibrated on US data. Copyright © 1999 John Wiley & Sons, Ltd.