A Direct Test of Roll's Conjecture on the Firm Size Effect

• 1 March 1982
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 37  (1) , 27-35
• https://doi.org/10.2307/2327115

Abstract

Keywords

• ROLL'S CONJECTURE
• CONJECTURED
• FIRM SIZE EFFECT
• DIRECT TEST
• BIAS
• SMALL FIRMS
• EFFECT EMPIRICAL
• SECURITY