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Is size dead? A review of the size effect in equity returns

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  • van Dijk, Mathijs A.

Abstract

Beginning with Banz (1981), I review 30years of research on the size effect in equity returns. Since Fama and French (1992), 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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 35 (2011)
Issue (Month): 12 ()
Pages: 3263-3274

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Handle: RePEc:eee:jbfina:v:35:y:2011:i:12:p:3263-3274

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Web page: http://www.elsevier.com/locate/jbf

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Keywords: Size effect; Cross-section of equity returns; CAPM; Anomalies;

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References

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Cited by:
  1. de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012. "The cross-section of stock returns in frontier emerging markets," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 796-818.
  2. Peek, E., 2011. "The Value of Accounting," ERIM Inaugural Address Series Research in Management EIA-2011-048-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  3. Orbe Mandaluniz, Susan & Ferreira García, María Eva & Gil Bazo, Javier, 2010. "Conditional beta pricing models: A nonparametric approach," BILTOKI 2010-10, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  4. Białkowski, Jędrzej & Bohl, Martin T. & Kaufmann, Philipp & Wisniewski, Tomasz P., 2013. "Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey," Emerging Markets Review, Elsevier, vol. 15(C), pages 211-232.
  5. Victoria Atanasov, 2013. "The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns," Tinbergen Institute Discussion Papers 13-180/IV/DSF66, Tinbergen Institute.
  6. Madalina - Gabriela Anghel & Liliana (Dinca) Paschia, 2013. "Using The Capm Model To Estimate The Profitability Of A Financial Instrument Portfolio," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(15), pages 19.
  7. Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
  8. Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 186-210.
  9. Yao, Yaqiong, 2012. "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2757-2769.
  10. Hanauer, Matthias & Kaserer, Christoph & Rapp, Marc Steffen, 2011. "Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)," CEFS Working Paper Series 2011-01, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
  11. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  12. Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2011. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01 [rev.], University of Cologne, Centre for Financial Research (CFR).

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