برچسب: bid-ask prices
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Griffiths, Turnbullb And White-Re-Examining The Small-Cap Myth Problems In Portfolio Formation An
This study investigates the realizable returns on portfolios at the turn-of-the-year. Using an intraday simulation that accounts for the volumes offered or wanted at market bid-ask prices, large-capitalization securities significantly outperform small-capitalization securities by 2.4% and 6.5%, depending on whether the portfolios were formed on the last day of the taxation year or were formed […]