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ArticleThree analyses of the firm size premium

Joël L. Horowitz2000

Article2000

Three analyses of the firm size premium

Joël L. Horowitz · Tim Loughran B · N. E. Savin

167 citations·0/0 files stored·Journal of Empirical Finance

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

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1981The relationship between return and market value of common stocks 1988Dividend yields and expected stock returns 1983Size-related anomalies and stock return seasonality 1981Misspecification of capital asset pricing 1995Another Look at the Cross-Section of Expected Stock Returns

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2001An Examination of the Fama and French Three-Factor Model Using Commercially Available Factors 2016Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach 2006The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market 2003An investigation into the role of liquidity in asset pricing: Australian evidence 2018Small Innovators: No Risk, No Return 2004A simple test of the Fama and French model using daily data: Australian evidence

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1995Chapter 17 On the predictability of common stock returns: World-wide evidencechapter · 13 shared references 2011Is size dead? A review of the size effect in equity returnsarticle · 11 shared references 2000The disappearing size effectarticle · 10 shared references 2012Illiquidity and Stock Returns Cross-Section and Time-Series Effects＊chapter · 10 shared references 2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 10 shared references 1997On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressionsarticle · 9 shared references

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Year2000

Typearticle

Published2000-08-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations167

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0927-5398(00)00008-6

openalex_workW2002188111

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2018Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns

2011Leverage, Excess Leverage and Future Returns