Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102256 | The North American Journal of Economics and Finance | 2017 | 17 Pages |
Abstract
Recent empirical evidence from developed markets indicates a negative relation between value premium and firm size. We find that the value premium in small stocks is consistently priced in the cross-section of international returns, whereas the value premium in big stocks is not. Based on US data, we show that the small-stock value premium is associated with business cycle news and reflects changes in macroeconomic, especially credit market related risks. Our results hold true for regional and global equity markets and remain valid after controlling for firm characteristics and prominent profitability and investment factors.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Victoria Atanasov, Thomas Nitschka,