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Using a Non-Beta-Adjusted Size Premium in the Context of the CAPM Will Likely Overstate Risk and Understate Value

Publiziert in Fachliche News Montag 04.02.2019
Using a Non-Beta-Adjusted Size Premium in the Context of the CAPM Will Likely Overstate Risk and Understate Value

Article by Roger Ibbotson and James Harrington about measuring the Relative Performance of Small Stock vs. Large Stock and the Cost of Equity.

Discussion of two different ways of measuring the relative performance of small stocks versus large stocks:

  • "small stock premium"
  • "beta-adjusted size premium”

Download the article.

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