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| Tekijä: | Amel-Zadeh, A. |
| Otsikko: | The return of the size anomaly:evidence from the German stock market |
| Lehti: | European Financial Management
2011 : JAN, VOL.17:1, p. 145-182 |
| Asiasana: | capital markets capital asset pricing stock markets Germany models sampling |
| Vapaa asiasana: | size effect small firm effect momentum instrumental variables |
| Kieli: | eng |
| Tiivistelmä: | The author expounds that unlike recent evidence of a reversal of the size anomaly this study documents a conditional relation between size and returns and strong momentum across size portfolios. The paper uses an instrumental variable estimation to address Berk's critique of a simultaneity bias in prior studies on the small firm effect and to investigate the economic rationale behind firm size as an explanatory variable for the variation in stock returns. The results indicate that the marginal effect of firm size on stock returns is conditional on the firm's past performance and the firm size captures firm characteristic components in stock returns and that this regularity cannot be explained by differences in systematic risk. |
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