Results 221 to 230 of about 31,133 (259)

Can investor sentiment predict the size premium?

International Review of Financial Analysis, 2019
Abstract This study uses theoretical arguments from the psychology and financial decision-making literature to assess the extent to which investor sentiment contributes to explaining the size premium. We use daily, weekly and monthly data for 1965–2017, and several investor sentiment measures often used in the recent literature, including stock ...
Mahmoud Qadan, David Y. Aharon
openaire   +1 more source

Three analyses of the firm size premium

Journal of Empirical Finance, 2000
Abstract 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, N.E Savin
openaire   +1 more source

Firm size and the political cycle premium

Managerial Finance, 2015
Purpose – The purpose of this paper is to use firm-level data to examine whether the political cycle differentially relates to small vs large firms in New Zealand; a country that operates a unicameral political system has a short three-year political term and a right-of-centre stock market premium exists.
Chris B Malone, Hamish Anderson, Peng Cheng   +2 more
openaire   +1 more source

Size premium or size discount? – A dynamic capital mobility based interpretation

Studies in Economics and Finance, 2022
Purpose The size effect that there exist return differences between small market-cap firms and large market-cap counterparts in the stock market has become one of the most controversial capital market anomalies. This paper aims to interpret this effect, including both the size premium and the size discount.
openaire   +1 more source

Unobserved human capital and firm-sized premium [PDF]

, 2000
Tutkimus tarkastelee palkanmuodostusta ja työvoiman liikkuvuutta erikokoisissa yrityksissä Suomessa yhdistetyssä yritys-työntekijä aineistossa ajanjaksolla 1989-1996. Ei-havaittava inhimillinen pääoma kasvaa yrityskoon mukaan ja on merkittävin selittäjä suurten yritysten korkeammille palkoille.
openaire   +1 more source

SMB — Arousal, disproportionate reactions and the size-premium

Pacific-Basin Finance Journal, 2007
Abstract This paper examines SMB (small minus big), the mimicking portfolio in Fama and French's [Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56] three-factor asset pricing model. We do not examine whether SMB is a factor in explaining the cross-section of returns.
Durand, Robert, Juricev, A., Smith, G.
openaire   +2 more sources

The Size Premium in the Long Run

SSRN Electronic Journal, 2009
Contrary to the usual practice of including a size premium in a small firm's cost-of-equity estimation, this paper shows that there should not be such a premium in the long run because firm size is a changing characteristic. By tracking the return performance of firms in the same size group for a longer horizon, I find that the size premium wears off ...
openaire   +1 more source

Timing the size risk premium

2019
NEOMA Business School a accueilli les 11 et 12 avril sur le campus de Reims la cinquième édition de l’Inter-Business Schools Finance Seminar. Cette conférence a réuni des professeurs des départements de Finance d’EM LYON, ESCP, ESSEC, GRENOBLE EM, HEC, NEOMA BS, TOULOUSE BS et UNIVERSITE PARIS-DAUPHINE. L’objectif est de servir de plate-forme d’échange
Darolles, Serge, Le Fol, Gaëlle, Mero, Gulten   +2 more
openaire   +1 more source

Forecasting the Size Premium Over Different Horizons

SSRN Electronic Journal, 2011
In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a
openaire   +1 more source

Three Essays on Size Premium Puzzle

Size premium puzzle, also known as the size effect, is one of the most studied anomalies in asset pricing literature. It refers to the observation that, on average, smaller firms have higher risk-adjusted returns than larger firms over a long period of time. While many studies have debated the existence of the size effect, the question of why it exists
openaire   +2 more sources