The Size Effect and the Value Effect in the American Stock Market

Bing Xiao
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Bing Xiao: CleRMa - Clermont Recherche Management - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand - UCA - Université Clermont Auvergne, IUT Clermont-Ferrand - Institut Universitaire de Technologie - Clermont-Ferrand - UCA - Université Clermont Auvergne

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Abstract: This article aims to investigate the efficiency of the SP500 indexes over the 1996-2021 period. In our study, we also analysed the possible link between the size effect, the value effect and the business cycles. The results show the existence of a size effect and a reversed value effect during the whole period. However, when considering the sub periods, the anomalies are not persistent. These results indicate the importance of considering the market as a whole when studying efficiency.

Keywords: market risk premium GARCH CAPM anomalies size effect Book to Market effect US stock market Efficient Market Hypothesis (EMH) JEL Classification: G1 G10 G12 G14 G17; market risk premium; GARCH; CAPM; anomalies; size effect; Book to Market effect; US stock market; Efficient Market Hypothesis (EMH) JEL Classification: G1; G10; G12; G14; G17 (search for similar items in EconPapers)
Date: 2023-01-01
Note: View the original document on HAL open archive server: https://hal.science/hal-04194510
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Published in International Journal of Financial Research, 2023, 14 (1), pp.41. ⟨10.5430/ijfr.v14n1p41⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04194510

DOI: 10.5430/ijfr.v14n1p41

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