Firm size and stock returns: a quantitative survey
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10395922" target="_blank" >RIV/00216208:11230/19:10395922 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=3Lz_zCVV_Z" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=3Lz_zCVV_Z</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1111/joes.12335" target="_blank" >10.1111/joes.12335</a>
Alternative languages
Result language
angličtina
Original language name
Firm size and stock returns: a quantitative survey
Original language description
Firm size is commonly used in numerous empirical asset pricing models as a determinant of expected stock returns. Yet there is little consensus over the magnitude and stability of the size premium. In fact, some researchers even question whether firm size should be used as a pricing factor. We collect 1746 estimates of the slope coefficients capturing the association between firm size and stock returns reported in 102 published studies and conduct the first meta-analysis on the size premium. We find evidence of a strong bias toward publishing statistically significant negative slope coefficients. After correcting for the bias, we find that the literature implies a difference in annual stock returns on the smallest and the largest New York Stock Exchange (NYSE) market capitalization quintiles of 1.72%. For the time periods covered in the sampled articles, we find that the size premium was larger in earlier years and that the intensity of publication bias has been decreasing over time.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA18-02513S" target="_blank" >GA18-02513S: Meta-Analyses of Stock Return Determinants</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Economic Surveys
ISSN
0950-0804
e-ISSN
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Volume of the periodical
33
Issue of the periodical within the volume
5
Country of publishing house
GB - UNITED KINGDOM
Number of pages
30
Pages from-to
1463-1492
UT code for WoS article
000478392000001
EID of the result in the Scopus database
2-s2.0-85070195099