Firm Size And Cyclical Variations in Stock Returns  

Oleh:

Timmermann, Allan ; Ouiros, Gabriel Perez

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 3 (2000), page 1229-1262.
Topik: FIRM SIZE; studies; size of enterprise; expected returns; economic models
Fulltext: p 1229.pdf (1.0MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms' over the economic cycle. Small firms with little collateral should be more strongly affected by highter credit market conditions in a recession state than large, better collateralized ones. This paper adopts a flexible econometric model to analyze these implications 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.

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