Recent empirical evidence from developed markets indicates a negative relation between
value premium and firm size. We find that the value premium in small stocks is consis-
tently priced in the cross-section of international returns, whereas the value premium in big stocks is not. Based on US data, we show that the small-stock value premium is asso-
ciated with business cycle news and reflects changes in macroeconomic, especially credit
market related risks. Our results hold true for regional and global equity markets and
remain valid after controlling for firm characteristics and prominent profitability and
investment factors.
Dieser Eintrag ist Teil der Universitätsbibliographie.
Suche Autoren in