A NOTE ON THE EFFECT OF CONTROLLING FOR TRANSACTION COSTS ON THE SMALL FIRM ANOMALY - ADDITIONAL AUSTRALIAN EVIDENCE

This study provides additional evidence on the small firm anomaly using Australian data. The evidence is acquired after adjusting the CAPM for transaction costs. The study uses actual transaction costs circumventing estimation problems apparent in previous research. Results indicate that the anomaly can be removed over an investment horizon of two to three months. © 1991.