An exploratory investigation of the firm size effect


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