Original paper
FIRM SIZE AND STOCK RETURNS: A QUANTITATIVE SURVEY
Abstract
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...
Paper Details
Title
FIRM SIZE AND STOCK RETURNS: A QUANTITATIVE SURVEY
Published Date
Jul 29, 2019
Journal
Volume
33
Issue
5
Pages
1463 - 1492
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Notes
History