This paper explores why the size effect vanished after the early 1980s. We show that the size premiums are significantly positive primarily at the bottom of the business cycles. More importantly, this dependency of the size premium on the business cycles is preserved even after the 1980s. Therefore, our findings suggest that while uncondi- tional size effect has perished, the size effect conditional on the business cycles is alive and well. The less frequent occurrences of troughs, due to prolonged business cycle length, are shown to be responsible for the dissolution of the size premium.
Keywords: Size premium; Business cycle duration
JEL classification: E32; E44; G12; G14
[2015년 제 4차] Why Has the Size Premium Disappeared?
작성자 : 관리자
조회수 : 800
게시일 :
2015-12-30