Is size dead? A review of the size effect in equity returns

Mathijs van Dijk ()

Journal of Banking & Finance, 2011, vol. 35, issue 12, 3263-3274

Abstract: Beginning with Banz (1981), I review 30years of research on the size effect in equity returns. Since Fama and French (1992), there has been a vigorous, ongoing debate on whether the size premium is a compensation for systematic risk. Since the late 1990s, research on the size effect has been characterized by two developments that are seemingly contradictory. At last, theoretical models have emerged in which the size effect arises endogenously as a result of systematic risk. However, recent empirical studies assert that the size effect has disappeared after the early 1980s. In this review, I address this disconnect between recent theoretical and empirical research.

Keywords: Size effect; Cross-section of equity returns; CAPM; Anomalies (search for similar items in EconPapers)
JEL-codes: G12 G15 G31 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (106)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:12:p:3263-3274

DOI: 10.1016/j.jbankfin.2011.05.009

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