Revisiting the Small-Firm Effect on Entrepreneurship: Evidence from Firm Dissolutions

2016 ◽  
Vol 27 (4) ◽  
pp. 893-910 ◽  
Author(s):  
Aleksandra Kacperczyk ◽  
Matt Marx
Keyword(s):  
Small Firm ◽  
Firm Effect

DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER?

2016 ◽  
Vol 11 (02) ◽  
pp. 1650008
Author(s):  
SWARN CHATTERJEE ◽  
AMY HUBBLE
Keyword(s):  
Stock Returns ◽  
Small Firm ◽  
Economic Cycles ◽  
Trading Decisions ◽  
Portfolio Managers ◽  
Small Investors ◽  
Garch Processes ◽  
Day Of The Week ◽  
Firm Effect ◽  
Daily Returns

This study examines the presence of the day-of-the-week effect on daily returns of biotechnology stocks over a 16-year period from January 2002 to December 2015. Using daily returns from the NASDAQ Biotechnology Index (NBI), we find that the stock returns were the lowest on Mondays, and compared to the Mondays the stock returns were significantly higher on Wednesdays, Thursdays, and Fridays. The day-of-the-week effect on returns of biotechnology stocks remained significant even after controlling for the Fama–French and Carhart factors. Moreover, the results from using the asymmetric generalized autoregressive conditional heteroskedastic (GARCH) processes reveal that momentum and small-firm effect were positively associated with the market risk-adjusted returns of the biotechnology stocks during this period. The findings of our study suggest that active portfolio managers need to consider the day of the week, momentum, and small-firm effect when making trading decisions for biotechnology stocks. Implications for portfolio managers, small investors, scholars, and policymakers are included.

The Small Firm Effect

1983 ◽  
Vol 39 (3) ◽  
pp. 46-49 ◽  
Author(s):  
Ivan L. Lustig ◽  
Philip A. Leinbach
Keyword(s):  
Small Firm ◽  
Firm Effect

Small firm mutual funds: Additional evidence on the small firm effect

1992 ◽  
Vol 4 (3) ◽  
pp. 211-219 ◽  
Author(s):  
Steven C. Isberg ◽  
Clifford F. Thies
Keyword(s):  
Mutual Funds ◽  
Small Firm ◽  
Firm Effect

MUTUAL FUNDS AND THE SMALL FIRM EFFECT

1984 ◽  
Vol 19 (3) ◽  
pp. 87-87
Author(s):  
Gerald P. Madden ◽  
Kenneth P. Nunn
Keyword(s):  
Mutual Funds ◽  
Small Firm ◽  
Firm Effect

Small firm effect: The case for banks

1992 ◽  
Vol 6 (2) ◽  
pp. 157-168
Author(s):  
Joseph Aharony ◽  
Haim Falk
Keyword(s):  
Small Firm ◽  
Firm Effect

Differential information and the small firm effect

1984 ◽  
Vol 13 (2) ◽  
pp. 283-294 ◽  
Author(s):  
Christopher B. Barry ◽  
Stephen J. Brown
Keyword(s):  
Small Firm ◽  
Differential Information ◽  
Firm Effect
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