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Structural and Return Characteristics of Small and Large Firms

  • Chan, K C
  • Chen, Nai-Fu
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    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.

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

    Volume (Year): 46 (1991)
    Issue (Month): 4 (September)
    Pages: 1467-84

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    Handle: RePEc:bla:jfinan:v:46:y:1991:i:4:p:1467-84
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