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On The Impact Of Firm Size On Risk And Return: Fresh Evidence From The American Stock Market Over The Recent Years

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Listed:
  • Anissa Chaibi
  • Sabrina Alioui
  • Bing Xiao

Abstract

According to the size effect, small cap securities generally generate greater returns than those of large cap securities. Recent studies have however suggested that for certain periods, size cannot be considered as a relevant explanatory variable, and t

Suggested Citation

  • Anissa Chaibi & Sabrina Alioui & Bing Xiao, 2014. "On The Impact Of Firm Size On Risk And Return: Fresh Evidence From The American Stock Market Over The Recent Years," Working Papers 2014-230, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-230
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_230.pdf
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    References listed on IDEAS

    as
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    2. Horowitz, Joel L. & Loughran, Tim & Savin, N. E., 2000. "The disappearing size effect," Research in Economics, Elsevier, vol. 54(1), pages 83-100, March.
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    9. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    10. Fama, Eugene F & French, Kenneth R, 1995. "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
    11. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
    12. Chan, K C & Chen, Nai-Fu, 1991. "Structural and Return Characteristics of Small and Large Firms," Journal of Finance, American Finance Association, vol. 46(4), pages 1467-1484, September.
    13. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
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