This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Structural and Return Characteristics of Small and Large Firms

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
 Chan, K C
Chen, Nai-Fu
Abstract

The authors examine differences in structural characteristics that lead firms of different sizes to react differently to the same economic news. They find that a small firm portfolio contains a large proportion of marginal firms--firms with low production efficiency and high financial leverage. The authors construct two size-matched indices designed to mimic the return behavior of marginal firms and find that these return indices are important in explaining the time-series return difference between small and large firms. Furthermore, risk exposures to these indices are as powerful as log(size) in explaining average returns of size-ranked portfolios. Copyright 1991 by American Finance Association.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0022-1082%28199109%2946%3A4%3C1467%3ASARCOS%3E2.0.CO%3B2-U&origin=repec
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 46 (1991)
Issue (Month): 4 (September)
Pages: 1467-84
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:46:y:1991:i:4:p:1467-84

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Maroney, Neal C. & Protopapadakis, Aris A., 1999. "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets," Working Papers 1999-15, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  2. Campbell, John Y. & Hilscher, Jens & Szilagyi, Jan, 2005. "In search of distress risk," Discussion Paper Series 1: Economic Studies 2005,27, Deutsche Bundesbank, Research Centre. [Downloadable!]
    Other versions:
  3. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia. [Downloadable!]
  4. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2006. "The Accrual Anomaly: Risk or Mispricing?," Working Paper Series 2006-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    Other versions:
  5. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, Groupe HEC. [Downloadable!]
  6. John Campbell & Jianping Mei, 1993. "Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk," NBER Working Papers 4329, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Franzoni, Francesco & Adrian, Tobias, 2005. "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," Les Cahiers de Recherche 828, Groupe HEC. [Downloadable!]
    Other versions:
  8. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  9. Tung Liang Liao & Mei-Chu Ke & Hsiang-Tai Yu, 2005. "Anomalous price behaviour around stock repurchases on the Taiwan stock exchange," Applied Economics Letters, Taylor and Francis Journals, vol. 12(1), pages 29-39, January. [Downloadable!] (restricted)
  10. Fernando Rubio, 2005. "Modelo De Tres Factores En España," Finance 0501001, EconWPA. [Downloadable!]
  11. Gomes, Joao F & Yaron, Amir & Zhang, Lu, 2002. "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers 3495, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  12. Foort, HAMELINK, 1998. "Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse," Les Cahiers de Recherche 655, Groupe HEC. [Downloadable!]
  13. Kent Daniel & Sheridan Titman, 1996. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," NBER Working Papers 5604, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Owen Lamont & Christopher Polk & Jesus Saa-Requejo, 1997. "Financial Constraints and Stock Returns," NBER Working Papers 6210, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? A tutorial is available.

This page was last updated on 2008-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.