Journal article
The disappearing size effect
Research in economics, Vol.54(1), pp.83-100
03/01/2000
DOI: 10.1006/reec.1999.0207
Abstract
In this paper, we use average monthly returns and monthly cross-sectional regressions to investigate the relation between returns and firm size. During the period 1963–1981, we find an annualized return difference between small and large firms over 13% compared to a negative 2% return differential since 1982. Removal of the smallest firms (less than $5 million market value) eliminates any statistically significant size effect during the sample period using a regression framework. Several explanations are proposed for the disappearance of the size effect. Our results imply that size should not be considered as a systematic proxy for risk.
Details
- Title: Subtitle
- The disappearing size effect
- Creators
- Joel L. Horowitz - University of IowaTim Loughran - University of Notre DameN.E. Savin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Research in economics, Vol.54(1), pp.83-100
- DOI
- 10.1006/reec.1999.0207
- ISSN
- 1090-9443
- eISSN
- 1090-9451
- Publisher
- Elsevier Ltd
- Number of pages
- 18
- Language
- English
- Date published
- 03/01/2000
- Academic Unit
- Economics
- Record Identifier
- 9984963206902771
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