Journal article
Three analyses of the firm size premium
Journal of empirical finance, Vol.7(2), pp.143-153
08/01/2000
DOI: 10.1016/S0927-5398(00)00008-6
Abstract
The size premium for smaller companies is one of the best-known academic market anomalies. The relevant issue for investors is whether size premium for small-cap stocks is still positive, and, if so, whether its magnitude is substantial. In our analysis, we use annual compounded returns, monthly cross-sectional regressions, and linear spline regressions to investigate the relation between expected returns and firm size during 1980–1996. All three methodologies report no consistent relationship between size and realized returns. Hence, our results show that the widespread use of size in asset pricing is unwarranted.
Details
- Title: Subtitle
- Three analyses of the firm size premium
- Creators
- Joel L Horowitz - University of IowaTim Loughran - University of Notre DameN.E Savin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of empirical finance, Vol.7(2), pp.143-153
- DOI
- 10.1016/S0927-5398(00)00008-6
- ISSN
- 0927-5398
- eISSN
- 1879-1727
- Publisher
- Elsevier B.V
- Number of pages
- 11
- Language
- English
- Date published
- 08/01/2000
- Academic Unit
- Economics
- Record Identifier
- 9984963115102771
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