Year: 1999
Type: article
Abstract: In 1982, Dimensional Fund Advisors launched a mutual fund intended to capture the returns of small-cap stocks. The ‘9–10 Fund’ is based on the CRSP 9–10 Index, an index of small-cap stocks constituting the ninth and tenth deciles of NYSE market capitalization, although the 9–10 Fund incorporates investment rules and a trading strategy that are aimed at minimizing the potentially excessive trade costs associated with such illiquid stocks. As a result, the 9–10 Fund provided a 2.2% annual premium over the 9–10 Index for the 1982–1995 period. We show that both the investment rules and the trade strategy components of the Fund’s design contribute significantly to this return difference.
Source: Journal of Financial Economics
Author: Donald B. Keim
Institution: University of Pennsylvania
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $4,740
OpenAlex ID: W1485512295