Equity Valuation

Fact, Fiction, and the Size Effect ArXiv ID: ssrn-3177539 “View on arXiv” Authors: Unknown Abstract In the earliest days of empirical work in academic finance, the size effect was the first market anomaly to challenge the standard asset pricing model and promp Keywords: Size Effect, Asset Pricing, Market Anomalies, Equity Valuation, Small Cap Stocks, Equities Complexity vs Empirical Score Math Complexity: 2.5/10 Empirical Rigor: 8.0/10 Quadrant: Street Traders Why: The paper primarily uses standard statistical tests on public datasets (like CRSP) and factor return data (Fama-French) to empirically dissect the size effect, with minimal advanced mathematical formalism beyond basic regression and performance metrics. flowchart TD A["Research Goal: Investigate the existence and persistence of the Size Effect"] --> B["Data Inputs: Historical equity data, CRSP database, Fama-French factors"] B --> C["Methodology: Portfolio Sorts & Regression Analysis"] C --> D{"Computational Process: Decomposing Size Premium"} D -- "Statistical Testing" --> E["Key Findings: Size Effect is conditional on volatility & liquidity"] D -- "Out-of-Sample Validation" --> E E --> F["Outcome: Small-cap premium diminishes after accounting for risk factors & data snooping"]

Corporate Governance and Firm Valuation ArXiv ID: ssrn-754484 “View on arXiv” Authors: Unknown Abstract Gompers et al. [“Gompers, P., Ishii, J., Metrick, A., 2003. Corporate governance and equity prices. Quarterly Journal of Economics 118, 107-155”] created G-Index, Keywords: Corporate Governance, G-Index, Shareholder Rights, Equity Valuation, Antitakeover Provisions, Equities Complexity vs Empirical Score Math Complexity: 2.5/10 Empirical Rigor: 8.5/10 Quadrant: Street Traders Why: The paper uses standard regression models and index construction without advanced mathematics, but is heavily data-driven with comprehensive datasets (Compustat, ISS), large sample sizes (2538 firms), and detailed backtesting of governance indices against firm valuation metrics like Tobin’s Q. flowchart TD A["Research Goal: Does stronger shareholder rights affect firm valuation?"] --> B["Data Source: Institutional Shareholder Services"] B --> C{"Key Methodology"} C --> D["Construct G-Index from 24 antitakeover provisions"] C --> E["Collect firm financials & equity prices 1990-1999"] D --> F["Regression Analysis: Tobin's Q"] E --> F F --> G["Key Finding: Firms with stronger shareholder rights have higher valuations"]