tag:blogger.com,1999:blog-34323687.post3187577316575558166..comments2024-03-29T12:26:35.581+00:00Comments on Macro Man: Large caps and small capsMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-34323687.post-17591723463010052452007-10-04T20:22:00.000+01:002007-10-04T20:22:00.000+01:00I dont exactly know how the return on the small ca...I dont exactly know how the return on the small caps portfolio is calculated, but was wondering if the return on small caps is affected by "survival bias"?<BR/><BR/>...since the return only takes in to account those companies that survive and take out those that do not.<BR/><BR/>I am not shure if this is related to the subject, but correct me if I am wrong, here is Fama & French paper on small and big cap stocks:<BR/><BR/>http://www.cba.ua.edu/~jlee/ec671/Fama_M_Fama&French_JF_1992.pdf<BR/><BR/>Here is the critics about "survival bias" and periodic effects:<BR/><BR/>www.minneapolisfed.org/research/QR/QR1941.pdf<BR/><BR/>Dont know if I am on the right track, I hope. Sorry for my english, The Dane.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-90175685766209549722007-10-03T13:42:00.000+01:002007-10-03T13:42:00.000+01:00You might also look at the difference in performan...You might also look at the difference in performance between small cap growth (IWO) and small cap value (IWN) - IWO is outperforming IWN at the moment.Damianhttps://www.blogger.com/profile/16016686632386396090noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-31185163173523559472007-10-02T19:04:00.000+01:002007-10-02T19:04:00.000+01:00One more thing to add to your Large Cap research. ...One more thing to add to your Large Cap research. Not technical at all... but over the long term, the generation that is now getting older, will move more of its money into higher yielding securities. IE fixed income or dividend income stocks. Of which most high dividends will come from large cap stocks since they have the cash flow to do so.qwertyhttps://www.blogger.com/profile/02114629962622999588noreply@blogger.com