Is There a Neglected Firm Effect?
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[Excerpt] The objective of this paper is to examine the statistical basis of the neglected firm effect: whether it is indeed statistically distinct from the small firm and January effects or not. Relative to previous work on neglected securities, the results reported are obtained from the use of superior data bases and a more rigorous statistical analysis. The paper proceeds with sections on data and statistical methodology, and an analysis of the neglected firm effect.
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neglected firm effect; security returns; firm size; capital loss
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Required Publisher Statement: © Wiley. Final version published as: Carvell, S. A., & Strebel, P. J. (1987). Is there a neglected firm effect? Journal of Business Finance & Accounting, 14(2), 279-290. Reprinted with permission. All rights reserved.