An Investigation into the Firm Size Effect: A Security Market Plane Approach

1996 ◽  
Vol 11 (1) ◽  
pp. 131-152
Author(s):  
Chi-Cheng Hsia ◽  
Beverly R. Fuller
Keyword(s):  
Size Effect ◽  
Firm Size ◽  
Security Market ◽  
Sample Period ◽  
Regression Residuals ◽  
Fama And French ◽  
Firm Size Effect

This paper tests the firm size effect with two different approaches. First, the “messy” and “clean” methods of Fama and French are used; the firm size effect is found to remain but only after the regression residuals are analyzed. Then a security market plane and a proxy of it are defined and the proxy security market plane is used for testing. The results indicate that the firm size effect is reliably detected and statistically “explained” by a proxy security market plane for the sample period from July 1963 to June 1986.

Index Revision and Firm Size Effect

2006 ◽  
Author(s):  
Munmun Mohanty ◽  
B. Mishra
Keyword(s):  
Size Effect ◽  
Firm Size ◽  
Firm Size Effect

The Firm Size Effect and the Economic Cycle

2002 ◽  
Vol 25 (1) ◽  
pp. 111-124 ◽  
Author(s):  
Moon K. Kim ◽  
David A. Burnie
Keyword(s):  
Size Effect ◽  
Firm Size ◽  
Economic Cycle ◽  
Firm Size Effect

scholarly journals Size and Operating Profitability Portfolio Returns and Return Premia in Japan—A Tour d’horizon

2021 ◽  
Vol 13 (2) ◽  
pp. 1
Author(s):  
Chikashi Tsuji
Keyword(s):  
Size Effect ◽  
Firm Size ◽  
Equity Market ◽  
Equity Returns ◽  
Sample Period ◽  
Full Sample ◽  
Portfolio Returns ◽  
International Equity ◽  
Equity Portfolios

This study examines the Japanese equity returns and return premia by focusing on firm size- and corporate operating profitability-sorted portfolios over the period from 1990 to 2020. As a result of our explorations, this study derives the following much beneficial findings. (1) The effects of corporate operating profitability and firm size are generally continuously seen in the Japanese equity market. More specifically, (2) the size effect is much stronger in our latter half sub-period; while the operating profitability effect is similarly seen in both our former half and latter half sub-periods. Furthermore, (3) we stress that this study employs the data in US dollars, and calculates several key statistics and measures for not only our full sample period but also many different sub-periods, in which economic and business circumstances are much different. Therefore, for both Japanese and international equity investors, our findings shall be highly useful for enriching and furthering the understanding of returns and return premia of Japanese equity portfolios.

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