Three papers that evaluate stock portfolio rebalancing and delisting influences on empirical asset pricing tests

Wentworth Boynton, University of Rhode Island

Abstract

This dissertation evaluates frictions from rebalancing and delisting and their effects in asset pricing tests. In chapter 1, I show that the small firm premia fall from 10.9% to 3.8% per year. Our empirics show that the cross-sectional dispersion of bootstrapped buy and hold portfolios is inverse to market size for each of the seven periods. We suggest that these cross-sectional dispersions indicate lower predictability of investors capturing their small firm returns and higher risk. In Chapter 2, I show that contrarian stocks (past losers) return premia earn a .4% per year premia over past winners. There is little evidence of long run mispricing. In chapter 3, I show that the CRSP equally weighted index is upwardly biased by 1.4% for the NYSE and AMEX and 2.6% for the Nasdaq. ^

Subject Area

Business Administration, General|Economics, Finance

Recommended Citation

Wentworth Boynton, "Three papers that evaluate stock portfolio rebalancing and delisting influences on empirical asset pricing tests" (2000). Dissertations and Master's Theses (Campus Access). Paper AAI9999531.
http://digitalcommons.uri.edu/dissertations/AAI9999531

Share

COinS