Firm size and stock returns: a quantitative survey

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Firm size and stock returns: a quantitative survey

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Firm size and stock returns: a quantitative survey

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GA18-02513S" target="_blank" >GA18-02513S: Meta-analýzy determinant akciových výnosů</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Economic Surveys

ISSN

0950-0804

e-ISSN

—

Svazek periodika

33

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

30

Strana od-do

1463-1492

Kód UT WoS článku

000478392000001

EID výsledku v databázi Scopus

2-s2.0-85070195099