The authors analyzed a large sample of domestic equity separately managed accounts over the 1991-2009 period and found evidence that manager skill persists. They also found that managers who were more active had better returns, and they documented a strong negative relationship between assets...

In 1981, Rolf W. Banz published “The Relationship Between Return and Market Value of Common Stocks,” concluding that the common stocks of smaller firms outperformed the common stocks of larger firms on a risk-adjusted basis. Recent studies argue that the small cap premium Banz reported was...

The process of estimating an industry cost of capital is complicated by the fact that many firms operate in multiple industries. Conglomerates are typically excluded from a pure-play industry analysis since their operations span more than one line of business. We argue that excluding these firms...