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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
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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
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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
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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,
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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,
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Can Overreaction Explain Part of the Size Premium?
SSRN Electronic Journal, 2006This paper uncovers several new empirical regularities in the historical returns of small stocks. First, within the sample of firms that have low market capitalizations, stocks with low past profitability ("laggers") bring returns significantly higher than those of stocks with high past profitability ("leaders").
K. Ozgur Demirtas, A. Burak Guner
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The Size Premium in the Long Run
SSRN Electronic Journal, 2009Contrary 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 ...
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The Establishment-Size Wage Premium in Greece
SSRN Electronic Journal, 2010In this paper we examine the establishment-size wage premium in Greece using a matched employee-employer dataset. The results of the econometric estimation suggest that indeed such a premium is present in the Greek market sector, too. Its magnitude is in line with those reported in other economies.
Joan Daouli +3 more
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Portfolio size as function of the premium: modelling and optimization [PDF]
Stochastics, 2013 An insurance company has a large number N of potential customers characterized by i.i.d. r.v.'s giving the arrival rates of claims. Customers are risk averse, and a customer accepts an offered premium p according to his A-value. The modelling further involves a discount rate d>r of customers, where r is the risk-free interest rate.
Asmussen, Søren +2 more
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Nature and the Size of the Risk Premium
SSRN Electronic Journal, 2006Capital is an ability of doing work. This is abstract and homogenous category, which has its equivalent in physics as concept of energy. Therefore the second law of thermodynamics predetermines an existence and a size of the risk premium as an essential economic constant, which shapes interest and discount rates, wages and salaries, prices of goods and
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Firm size and the political cycle premium
Managerial Finance, 2015Purpose – 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 +2 more
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Government size and risk premium
WIDER Working PaperGiven the rise in the government debt level in recent times, this paper aims to examine the effect of an increase in government size on risk premium and its transmission in the economy. We jointly identify the term spread shock (originating at the short end and the long end) and the government size shock, using max share identification.
Kumar, Abhishek, Mallick, Sushanta Kumar
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