Firm Size and Cyclical Variations in Stock Returns

Gabriel Perez‐Quiros and Allan Timmermann
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

Journal of Finance, 2000, vol. 55, issue 3, 1229-1262

Abstract: Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms' risk over the economic cycle. Small firms with little collateral should be more strongly affected by tighter credit market conditions in a recession state than large, better collateralized ones. This paper adopts a flexible econometric model to analyze these mplications empirically. Consistent with theory, small firms display the highest degree of asymmetry in their risk across recession and expansion states, which translates into a higher sensitivity of their expected stock returns with respect to variables that measure credit market conditions.

Date: 2000
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Citations: View citations in EconPapers (277)

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https://doi.org/10.1111/0022-1082.00246

Related works:
Working Paper: Firm size and cyclical variations in stock returns (1999)
Working Paper: Firm Size and Cyclical Variations in Stock Returns (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:55:y:2000:i:3:p:1229-1262

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