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Rural residents' preference for inclusive commercial health insurance in China: a discrete choice experiment. [PDF]
Arch Public HealthZhang L, Zheng C, Sun Q, Yin J.
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Three analyses of the firm size premium
Journal of Empirical Finance, 2000Abstract The size premium for smaller companies is one of the best-known academic market anomalies. The relevant issue for investors is whether size premium for small-cap stocks is still positive, and, if so, whether its magnitude is substantial. In our analysis, we use annual compounded returns, monthly cross-sectional regressions, and linear spline
Joel L Horowitz, Tim Loughran
exaly +2 more sources
The Size of the Equity Premium [PDF]
SSRN Electronic Journal, 2002 Among the many controversial variables in finance, risk premia stand prominent for their lack of observability. Measuring premia as the difference between realized returns on risky and risk-free assets has not led to unanimous conclusions about their size, which dramatically depends upon the length of the sample; in addition, investment allocations or ...
openaire +2 more sources
Is the Size Premium Really Driven by Firm Size?
The Journal of Investing, 2021By decomposing firm size into horizon-based components, the authors find that the changes in firm size in prior years, instead of its recent level, drive the size premium. Specifically, size five years ago explains 80% of the current firm size but has little predictive power for the size premium.
Zhiyao Chen, Jun Li, Huijun Wang
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The Size Premium in a Granular Economy
SSRN Electronic Journal, 2023The distribution of market capitalization in the U.S. is highly concentrated. We investigate how this phenomenon impacts the difference in returns between small and large firms (i.e., the size premium). If the stock market is sufficiently concentrated (i.e., granular), large firms may carry a risk premium because their idiosyncratic risk is not ...
Emery, Logan, Koëter, Joren
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SSRN Electronic Journal, 2018
At low frequencies, we document that size and value premia exhibit strong positive co-movement, but are both negatively related to the equity premium. These patterns are explained in an investment-based asset pricing model featuring persistent micro and macro uncertainty.
Bernard Herskovic +2 more
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At low frequencies, we document that size and value premia exhibit strong positive co-movement, but are both negatively related to the equity premium. These patterns are explained in an investment-based asset pricing model featuring persistent micro and macro uncertainty.
Bernard Herskovic +2 more
openaire +1 more source
SSRN Electronic Journal, 2017
We decompose firm size into four components: the lagged 5-year component that represents size five years ago, and the long-run, intermediate-run, and short-run components that capture changes in size in each horizon. Our analyses indicate that while the lagged 5-year component explains about 80% of the cross-sectional variation in size, it has little ...
Zhiyao Chen, Jun Li, Huijun Wang
openaire +1 more source
We decompose firm size into four components: the lagged 5-year component that represents size five years ago, and the long-run, intermediate-run, and short-run components that capture changes in size in each horizon. Our analyses indicate that while the lagged 5-year component explains about 80% of the cross-sectional variation in size, it has little ...
Zhiyao Chen, Jun Li, Huijun Wang
openaire +1 more source
SSRN Electronic Journal, 2017
This paper theoretically links the stock characteristics size and value to risks. The size premium arises – and spans the value premium – exclusively for portfolios formed in high market price of risk states. This is when the cross-sectional differences in risk premiums dominate the differences in expected cash flows connecting size and risk. Otherwise,
openaire +1 more source
This paper theoretically links the stock characteristics size and value to risks. The size premium arises – and spans the value premium – exclusively for portfolios formed in high market price of risk states. This is when the cross-sectional differences in risk premiums dominate the differences in expected cash flows connecting size and risk. Otherwise,
openaire +1 more source