A better source for size premiums than Ibbotson’s?

BVWireIssue #47-2
August 9, 2006

“Does the small stock premium as presented in Ibbotson’s data include some of the difference in liquidity between the large stocks and small stocks?” a BVR subscriber asked recently. “Should we be concerned about double-counting the effect of large vs. small stocks?”

For the answer, we turned to Ashok Abbot, Ph.D., Associate Professor of Finance at West Virginia University (Morgantown). “Ibbotson has been revising their size premiums downward,” he says. “A better source is Kenneth French’s data on size premium.” To access the French data, go to http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.

To find out more about Dr. Abbott’s innovative work on distinguishing marketability and liquidity, holding periods on and the effect on price from stock volatility, check out the transcript of the recent BVR Telephone Conference “Discounts for Lack of Marketability” by clicking here.

Please let us know if you have any comments about this article or enhancements you would like to see.