An exploratory investigation of the firm size effect
Published
Journal Article
We investigate the firm size effect for the period 1958 to 1977 in the framework of a multi-factor pricing model. The risk-adjusted difference in returns between the top five percent and the bottom five percent of the NYSE firms is about one to two percent a year, a drop from about twelve percent per year before risk adjustment. The variable most responsible for the adjustment is the sensitivity of asset returns to the changing risk premium, measured by the return difference between low-grade bonds and long-term government bonds. © 1985.
Full Text
Duke Authors
Cited Authors
- Chan, KC; Chen, NF; Hsieh, DA
Published Date
- January 1, 1985
Published In
Volume / Issue
- 14 / 3
Start / End Page
- 451 - 471
International Standard Serial Number (ISSN)
- 0304-405X
Digital Object Identifier (DOI)
- 10.1016/0304-405X(85)90008-X
Citation Source
- Scopus