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.
Original language | English (US) |
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Pages (from-to) | 143-153 |
Number of pages | 11 |
Journal | Journal of Empirical Finance |
Volume | 7 |
Issue number | 2 |
DOIs | |
State | Published - Aug 2000 |
Keywords
- Asset pricing
- G12
- G14
- Size premia
- Spline regressions
ASJC Scopus subject areas
- Finance
- Economics and Econometrics