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An exploratory investigation of the firm size effect

Publication ,  Journal Article
Chan, KC; Chen, NF; Hsieh, DA
Published in: Journal of Financial Economics
January 1, 1985

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.

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Published In

Journal of Financial Economics

DOI

ISSN

0304-405X

Publication Date

January 1, 1985

Volume

14

Issue

3

Start / End Page

451 / 471

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1606 Political Science
  • 1502 Banking, Finance and Investment
  • 1402 Applied Economics
 

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Chan, K. C., Chen, N. F., & Hsieh, D. A. (1985). An exploratory investigation of the firm size effect. Journal of Financial Economics, 14(3), 451–471. https://doi.org/10.1016/0304-405X(85)90008-X
Chan, K. C., N. F. Chen, and D. A. Hsieh. “An exploratory investigation of the firm size effect.” Journal of Financial Economics 14, no. 3 (January 1, 1985): 451–71. https://doi.org/10.1016/0304-405X(85)90008-X.
Chan KC, Chen NF, Hsieh DA. An exploratory investigation of the firm size effect. Journal of Financial Economics. 1985 Jan 1;14(3):451–71.
Chan, K. C., et al. “An exploratory investigation of the firm size effect.” Journal of Financial Economics, vol. 14, no. 3, Jan. 1985, pp. 451–71. Scopus, doi:10.1016/0304-405X(85)90008-X.
Chan KC, Chen NF, Hsieh DA. An exploratory investigation of the firm size effect. Journal of Financial Economics. 1985 Jan 1;14(3):451–471.
Journal cover image

Published In

Journal of Financial Economics

DOI

ISSN

0304-405X

Publication Date

January 1, 1985

Volume

14

Issue

3

Start / End Page

451 / 471

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1606 Political Science
  • 1502 Banking, Finance and Investment
  • 1402 Applied Economics