Shrinking the Size Effect
用贝叶斯收缩方法调整样本平均收益率和贝塔值，发现CAPM的规模效应几乎完全消失，对金融学者评估资产定价模型有参考价值。
Harry Markowitz laid the mean–variance foundation for the cornerstone capital asset pricing model (CAPM). One of the most significant and persistent empirical violations of the CAPM is the size, or small-firm, effect: the average returns of small firms are much too high relative to their betas. However, the CAPM risk–return relationship should hold for the <italic>expected</italic> parameters, and statistical theory tells us that the sample parameters are <italic>not</italic> the best estimates of the ex-ante parameters. When Bayesian shrinkage is employed to the sample average returns and betas, the size effect almost completely disappears.