Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns

被引：38

作者：

Hou, Kewei ^{[1
,2
]}

van Dijk, Mathijs A. ^{[3
]}

机构：

[1] Ohio State Univ, Fisher Coll Business, 820 Fisher Hall,2100 Neil Ave, Columbus, OH 43210 USA

[2] CAFR, Shanghai, Peoples R China

[3] Erasmus Univ, Rotterdam Sch Management, Rotterdam, Netherlands

来源：

REVIEW OF FINANCIAL STUDIES | 2019年 / 32卷 / 07期

关键词：

BOOK-TO-MARKET; CROSS-SECTION; IMPLIED COST; VARIANCE DECOMPOSITION; RISK; EXPECTATIONS; INVESTMENT; DIVIDENDS; SURVIVAL; MOMENTUM;

D O I：

10.1093/rfs/hhy104

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Many studies report that the size effect in the cross-section of stock returns disappeared after the early 1980s. This paper shows that its disappearance can be attributed to negative shocks to the profitability of small firms and positive shocks to big firms. After adjusting for the price impact of profitability shocks, we find a robust size effect in the cross-section of expected returns after the early 1980s. Our results highlight the importance of in-sample cash-flow shocks in understanding cross-sectional return predictability.

引用

页码：2850 / 2889

页数：40

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