A Spline Analysis of the Small Firm Effect: Does Size Really Matter?

Joel L. Horowitz (), Tim Loughran and N. E. Savin
Additional contact information
Tim Loughran: Univ. of Iowa
N. E. Savin: Univ. of Iowa

Econometrics from EconWPA

Abstract: This paper uses average monthly returns and linear spline regressions to investigate the relation between expected return and firm size during 1980-1994. We find that the average monthly returns are approximately constant across size deciles. The estimated spline regressions vary substantially from year-to-year. Our analysis of the year- by-year estimates suggests that the annual regression function is essentially flat, except possibly for the smallest two deciles. The results are similar for the January and non-January months. Hence, the evidence does not support the prevalent use of size as an explanatory variable for returns during the 1980-1994 period.

JEL-codes: C1 C5 C8 (search for similar items in EconPapers)
Date: 1996-08-15
Note: Zipped using PKZIP v2.04, encoded using UUENCODE v5.15. Zipped file includes 2 files --ui9609.wpa (Word for Windows 40 pages)
View list of references

Downloads: (external link)
http://129.3.20.41/eps/em/papers/9608/9608001.pdf (application/pdf)
http://129.3.20.41/eps/em/papers/9608/9608001.html (text/html)
http://129.3.20.41/eps/em/papers/9608/9608001.ps.gz (application/postscript)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:9608001

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().