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Primary Article

Where Has the Small-Stock Premium Gone?

Keith E. Gustafson and James D. Miller
The Journal of Investing Fall 1999, 8 (3) 45-53; DOI: https://doi.org/10.3905/joi.1999.319367
Keith E. Gustafson
A portfolio manager in Bank of America's Institutional Group. Previously, he was the senior consultant leading the Investment Company Services Group at Ibbotson Associates. He received B.A. and B.S. degrees from the University of Pennsylvania and a master's degree in finance and international business from Loyola University of Chicago.
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James D. Miller
Executive vice president and chief investment officer of Institutional Equity Investment Management at Continental Bank. He was previously with Mellon Bank as vice president and manager of investments. He received a B.S. and M.B.A. from Lehigh University. He became a Chartered Financial Analyst in 1971.
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Abstract

The authors compare the recent performance of various equity market capitalization-size groups. They place the underperformance of smaller stocks in a historical context and explore the cyclical nature of small-stock return premiums in an attempt to account for the historical, as well as the potential, underperformance. In the process, they address various arguments against expectations of superior small-stock returns.

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The Journal of Investing
Vol. 8, Issue 3
Fall 1999
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Where Has the Small-Stock Premium Gone?
Keith E. Gustafson, James D. Miller
The Journal of Investing Aug 1999, 8 (3) 45-53; DOI: 10.3905/joi.1999.319367

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Where Has the Small-Stock Premium Gone?
Keith E. Gustafson, James D. Miller
The Journal of Investing Aug 1999, 8 (3) 45-53; DOI: 10.3905/joi.1999.319367
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