At the end of June of each year (1999-2008), all sample firms are ranked on size (market capitalisation). ... to ensure that all accounting data are known before the returns they are used employed to explain (see Fama and French (1992a, p. 429) ). ... 8) and Barber and Lyon (1997, p. ... year. To be included in the tests of July t, a 383 Appendix II: Construction and Orthogonalisation of the explanatory returns.
|Title||:||Information Dissemination, Market Efficiency and the Joint Test Issue|
|Author||:||Houdou Basse Mama|
|Publisher||:||BoD – Books on Demand - 2010|