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

共 50 条

[41] Oil price explosivity and stock return: Do sector and firm size matter? [J].

Haykir, Ozkan ;

Yagli, Ibrahim ;

Gok, Emine Dilara Aktekin ;

Budak, Hilal .

RESOURCES POLICY, 2022, 78

[42] Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns [J].

Melvin, Michael ;

Pan, Wenqiang ;

Wikstrom, Petra .

JOURNAL OF FINANCIAL MARKETS, 2020, 51

[43] The drivers of firm longevity: Age, size, profitability and survivorship of Australian corporations, 1901-1930 [J].

Panza, Laura ;

Ville, Simon ;

Merrett, David .

BUSINESS HISTORY, 2018, 60 (02) :157-177

[44] Nexus between profitability, firm size and leverage and tax avoidance: evidence from an emerging economy [J].

Hossain, Md Shamim ;

Ali, Md Sobhan ;

Islam, Md Zahidul ;

Ling, Chui Ching ;

Fung, Chorng Yuan .

ASIAN REVIEW OF ACCOUNTING, 2024, 32 (05) :759-780

[45] A Valuation Study of Stock Market Seasonality and the Size Effect [J].

Chen, Zhiwu ;

Jindra, Jan .

JOURNAL OF PORTFOLIO MANAGEMENT, 2010, 36 (03) :78-+

[46] Understanding the Effect of Advertising on Stock Returns and Firm Value: Theory and Evidence from a Structural Model [J].

Vitorino, Maria Ana .

MANAGEMENT SCIENCE, 2014, 60 (01) :227-245

[47] The effect of credit on growth and convergence of firm size in Kenyan manufacturing [J].

Nkurunziza, Janvier Desire .

JOURNAL OF INTERNATIONAL TRADE & ECONOMIC DEVELOPMENT, 2010, 19 (03) :465-494

[48] Liquidity commonality on National Stock Exchange: size and sector effect [J].

Kumar, Suraj ;

Prasanna, Krishna .

APPLIED ECONOMICS LETTERS, 2021, 28 (14) :1208-1221

[49] Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance [J].

Chen, Tsung-Cheng ;

Chien, Chin-Chen .

PACIFIC-BASIN FINANCE JOURNAL, 2011, 19 (02) :208-229

[50] Moderating Effects of Firm Size and Leverage on the Working Capital Finance-Profitability Relationship: Evidence from China [J].

Mahmood, Faisal ;

Han, Dongping ;

Ali, Nazakat ;

Mubeen, Riaqa ;

Shahzad, Umeair .

SUSTAINABILITY, 2019, 11 (07)

← 1 2 3 4 5 →