Investigation into the disappearing small stock premium: time varying returns or arbitrage?
Cheah, Chee Yian.
Date of Issue2005
College of Business (Nanyang Business School)
The objective of this thesis is to investigate the disappearance of an anomaly, the size effect by the mid-1980's, specifically looking at the efficient arbitrage of a narrowly- shared small-cap risk and the time-varying risk and return hypotheses as the two most plausible candidates to explain for the disappearance of the size effect.
Nanyang Technological University