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
References: Add references at CitEc
Citations: View citations in EconPapers (279)

Downloads: (external link)
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)
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: https://EconPapers.repec.org/RePEc:bla:jfinan:v:55:y:2000:i:3:p:1229-1262

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().