In 1982, Dimensional Fund Advisors launched a mutual fund intended to capture the returns of small-cap stocks comprising the 9th and 10th deciles of NYSE market capitalization. Although linked to the CRSP 9-10 Index, the design of the 9-10 Fund incorporates investment rules and a trading...

Exchange seats are capital assets that confer access to the trading floor. On the New York Stock Exchange (NYSE), seta are bought and sold in a public auction market. As such, their prices reflect expectations about future activity and returns for the stock market as a whole. For this reason,...

In this paper we review the evidence on the cross-sectional behaviour of common stock returns in the US and other equity markets around the world. Since the early 1980's, a growing number of empirical studies have documented the presence of persistent cross-sectional patterns in stock returns...