Is size dead? A review of the size effect in equity returns
Beginning with, I review 30 years of research on the size effect in equity returns. Since, there has been a vigorous, ongoing debate on whether the size premium is a compensation for systematic risk. Since the late 1990s, research on the size effect has been characterized by two developments that are seemingly contradictory. At last, theoretical models have emerged in which the size effect arises endogenously as a result of systematic risk. However, recent empirical studies assert that the size effect has disappeared after the early 1980s. In this review, I address this disconnect between recent theoretical and empirical research.
|Keywords||Anomalies, CAPM, Cross-section of equity returns, Size effect|
|Persistent URL||dx.doi.org/10.1016/j.jbankfin.2011.05.009, hdl.handle.net/1765/26114|
|Journal||Journal of Banking & Finance|
van Dijk, M.A. (2011). Is size dead? A review of the size effect in equity returns. Journal of Banking & Finance (Vol. 35, pp. 3263–3274). doi:10.1016/j.jbankfin.2011.05.009