The Size Effect. Brett Bates Greg Chedwick Chris Ferre Matt Karam. The Size Effect. 2 Articles by Marc Reinganum: “Abnormal Returns in Small Firm Portfolios” (1981) “ Portfolio Strategies Based on Market Capitalization’ (1983)
Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.
Security Market Line
E(Ri) = Rf+ βi(E(Rm) − Rf)
E(Ri) =the expected return on the capital asset
Rf= the risk-free rate of interest
βi =(beta coefficient) = the sensitivity of the asset returns to market returns
E(Rm) = the expected return of the market
E(Rm) - Rf=the market premium or risk premium
Average Returns were systematically related to market capitalization.