This dissertation evaluates frictions from rebalancing and delisting and their effects in asset pricing tests. In chapter 1, I show that the small firm premia fall from 10.9% to 3.8% per year. Our empirics show that the cross-sectional dispersion of bootstrapped buy and hold portfolios is inverse to market size for each of the seven periods. We suggest that these cross-sectional dispersions indicate lower predictability of investors capturing their small firm returns and higher risk. In Chapter 2, I show that contrarian stocks (past losers) return premia earn a .4% per year premia over past winners. There is little evidence of long run mispricing. In chapter 3, I show that the CRSP equally weighted index is upwardly biased by 1.4% for the NYSE and AMEX and 2.6% for the Nasdaq.
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