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While "Newsies" is the fastest of the successful shows to recoup, in just over nine months, it was also the one with the smallest capitalization.
The regression model is estimated for value-weighted, equally-weighted, and size decile portfolios (with 1 indicating the smallest capitalization decile).
Full period analysis (1953 2006) of the day-of-the-week effect shows that returns are monotonically increasing during the week in the four smallest capitalization deciles.
In Panel D, a similar declining trend can be seen from 87.6% in the smallest capitalization decile to 37.3% in the largest capitalization decile.
These results suggest that a pattern of improving returns is confirmed in the smallest capitalization deciles, but there is a larger degree of violation in the pattern as market capitalization becomes larger.
Using continuously compounded returns, we analyze the day-of-the-week effect in the equally weighted (EW) portfolio, VW portfolio, and 10 deciles sorted by market capitalization (with 1 being the smallest capitalization decile and 10 being the largest).
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The Bad: The idea that the proliferation of ETFs has discouraged capital formation by shutting the IPO window for small capitalization issues is not backed up.
Only AXA Rosenberg U.S. Small Capitalization was lagging its peer group.
The select shares of the Barr Rosenberg U.S. Small Capitalization fund, which reopened to new shareholders on March 27, lost 15.4percentt from March 10 through April 20.
HighMark Value Momentum and AXA Rosenberg U.S. Small Capitalization have consistently generated above-average returns with average or below-average risk, according to Morningstar data.
Other funds that mesh value and momentum methods include American Century Income and Growth, AXA Rosenberg U.S. Small Capitalization, HighMark Value Momentum, Vanguard U.S. Value and N/I Numeric Investors Mid Cap.
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