Article1993

DUAL BETAS FROM BULL AND BEAR MARKETS: REVERSAL OF THE SIZE EFFECT

139 citations0/0 files storedThe Journal of Financial Research

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

Abstract Significant firm‐size‐related differences in abnormal returns and systematic risks occur in bull and bear market months from 1926 to 1988. Potential differential return premiums between recessions and expansions appear to be captured by the varying risk model and not the constant risk model. Using a dual‐beta market model to adjust for risk differences in bull and bear markets, we find that large firm stocks on average earn significant positive excess returns and small firm stocks earn significant negative excess returns. Superior performance of large firm stocks is even more pronounced outside January.

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1992The Cross-Section of Expected Stock Returns 1981The relationship between return and market value of common stocks 1989Business conditions and expected returns on stocks and bonds 1989Why Does Stock Market Volatility Change Over Time?1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1987The Relation Between Price Changes and Trading Volume: A Survey 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1983Size-related anomalies and stock return seasonality

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