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The Size Effect and the Value Effect in the American Stock Market

Author

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  • Bing Xiao

    (CleRMa - Clermont Recherche Management - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand - UCA - Université Clermont Auvergne, IUT Clermont-Ferrand - Institut Universitaire de Technologie - Clermont-Ferrand - UCA - Université Clermont Auvergne)

Abstract

This article aims to investigate the efficiency of the SP500 indexes over the 1996-2021 period. In our study, we also analysed the possible link between the size effect, the value effect and the business cycles. The results show the existence of a size effect and a reversed value effect during the whole period. However, when considering the sub periods, the anomalies are not persistent. These results indicate the importance of considering the market as a whole when studying efficiency.

Suggested Citation

  • Bing Xiao, 2023. "The Size Effect and the Value Effect in the American Stock Market," Post-Print hal-04194510, HAL.
    • Handle: RePEc:hal:journl:hal-04194510
    DOI: 10.5430/ijfr.v14n1p41
    Note: View the original document on HAL open archive server: https://hal.science/hal-04194510
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    More about this item

    Keywords

    market risk premium GARCH CAPM anomalies size effect Book to Market effect US stock market Efficient Market Hypothesis (EMH) JEL Classification: G1 G10 G12 G14 G17; market risk premium; GARCH; CAPM; anomalies; size effect; Book to Market effect; US stock market; Efficient Market Hypothesis (EMH) JEL Classification: G1; G10; G12; G14; G17;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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