Beginning with Banz (1981), I review 30years of research on the size effect in equity returns.
Since Fama and French (1992), there has been a vigorous, ongoing debate on whether the …

This paper studies the effect of the bid-ask spread on asset pricing. We analyze a model in
which investors with different expected holding periods trade assets with different relative …

This study investigates the anomalous findings of the previous insider trading studies that
any investor can earn abnormal profits by reading the Official Summary. Availability of …

We examine differences in structural characteristics that lead firms of different sizes to react
differently to the same economic news. We find that a small firm portfolio contains a large …

We investigate the firm size effect for the period 1958 to 1977 in the framework of a multi-
factor pricing model. The risk-adjusted difference in returns between the top five percent and …

We test whether momentum strategies remain profitable after considering market frictions
induced by trading. Intraday data are used to estimate alternative measures of proportional …

The tax law confers upon the investor a timing option-to realize capital losses and defer
capital gains. With the tax rate on long term gains and losses being about half the short term …

In this article we study the effects of transaction costs on asset prices. We assume an
overlap** generations economy with a riskless, liquid bond, and many risky stocks …

This paper is concerned with the size-related anomalies in stock returns reported by Banz
(1981) and Reinganum (1981). They showed that small firms have tended to yield returns …

The January effect is primarily a low‐share price effect and less so a market value effect. In
the recent 1977–1986 period, after‐transaction‐cost raw and excess January returns are …