IDEAS home Printed from https://ideas.repec.org/a/bla/jecsur/v33y2019i5p1463-1492.html
   My bibliography  Save this article

Firm Size And Stock Returns: A Quantitative Survey

Author

Listed:
  • Anton Astakhov
  • Tomas Havranek
  • Jiri Novak

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 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.

Suggested Citation

  • Anton Astakhov & Tomas Havranek & Jiri Novak, 2019. "Firm Size And Stock Returns: A Quantitative Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 33(5), pages 1463-1492, December.
  • Handle: RePEc:bla:jecsur:v:33:y:2019:i:5:p:1463-1492
    DOI: 10.1111/joes.12335
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/joes.12335
    Download Restriction: no

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jecsur:v:33:y:2019:i:5:p:1463-1492. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0950-0804 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.