Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069406 | Finance Research Letters | 2015 | 18 Pages |
Abstract
Extreme observations can bias the average return calculation and this bias affects small stocks more. We study several filters that could help to alleviate such a bias. As an illustrative example, we examine the impact of these filters on the size premium around the world. Our findings carry important implications for future empirical research in international stock returns.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Lieven De Moor, Piet Sercu,