Editorial Type:
Article Category: Research Article
| Online Publication Date: 01 Jan 2013
Do Data Biases Cause the Small Stock Premium?
Do Data Biases Cause the Small Stock Premium?
Page Range: 56 – 61
This article responds to arguments that question the historical data supporting the small stock premium. Three arguments are discussed: the alleged “delisting bias” in small stock data; the post-1982 under-performance of small stocks; and the non-inclusion of transaction costs. It is shown that these arguments are either flawed or inadequate in explaining the historical data.
Copyright: © 2003 American Society of Appraisers
Contributor Notes
David King, CFA is a Director in the Corporate Value Consulting practice of Standard & Poor's. He is co-author of the annual Standard & Poor's Corporate Value Consulting Equity Risk Premium Study. He is a candidate member of the American Society of Appraisers.