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Beta and Size Revisited: Evidence from the French Stock Market

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  • Bing Xiao

Abstract

According to the size effect, small cap securities generally generate greater returns than those of large cap securities. Our study confirms that the size effect does exist in the French stock market, but the difference cannot be explained by the beta levels. It is important to recognize the sign of the excess market return when testing the beta-return relationship. A test of the beta return relationship on the sign of the excess market return finds a significant relationship between conditional beta and returns. However, it seems that the conditional beta does not explain the size effect.

Suggested Citation

  • Bing Xiao, 2016. "Beta and Size Revisited: Evidence from the French Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 7(5), pages 42-50, October.
    • Handle: RePEc:jfr:ijfr11:v:7:y:2016:i:5:p:42-50
    DOI: 10.5430/ijfr.v7n5p42
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