Vanden, Joel - In: Annals of Finance 11 (2015) 1, pp. 77-107
Noisy information (i.e., informative signals) can affect the likelihood of observing a size effect in realized stock returns. In a one period model with two firms, the observed firm sizes at date 0 can deviate from the true firm sizes that are revealed at date 1. Noisy information gets embedded...