An Empirical Re-examination of the Relation Between Firm Size and Return
نویسنده
چکیده
An Empirical Re-examination of the Relation Between Firm Size and Return Using a data set in which a strong relation between market value and return is known to exist, this paper fails to nd a signi cant relation between average returns and four other measures of rm size. Furthermore, while market value does provide signi cant additional explanatory power over the single beta model, the same result is not true of the other size measures. The conclusion is that there is no evidence that the size e ect is due to the existence of a relation between expected return and rm size. Instead, the results are evidence in favour of the hypothesis that the size e ect is due to the endogenous identity relating the market value of a rm to its discount rate.
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