- CFA Exams
- CFA Level I Exam
- Topic 5. Equity Investments
- Learning Module 3. Market Efficiency
- Subject 3. Market Pricing Anomalies
CFA Practice Question
Which of the following are criticisms of the small firm effect (size effect)?
II. The research only included NYSE firms.
III. Firms with low P/E ratios also outperformed the market.
IV. Transaction costs will eliminate all profits.
I. The beta on small firms is underestimated.
II. The research only included NYSE firms.
III. Firms with low P/E ratios also outperformed the market.
IV. Transaction costs will eliminate all profits.
Correct Answer: I, II, III and IV
All of the above are criticisms.
User Contributed Comments 3
| User | Comment |
|---|---|
| johntan1979 | Which research is II referring to? |
| khalifa92 | the one published 1981. |
| zriddle | Banz 1981 |