Firm size, economic risks, and the cross-section of international stock returns

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DOI:	https://doi.org/10.1016/j.najef.2016.12.004
URL:	https://ub-madoc.bib.uni-mannheim.de/43829
Additional URL:	https://www.sciencedirect.com/science/article/pii/...
URN:	urn:nbn:de:bsz:180-madoc-438295
Document Type:	Article
Year of publication:	2017
The title of a journal, publication series:	The North American journal of economics and finance
Volume:	39
Page range:	110-126
Place of publication:	Amsterdam [u.a.]
Publishing house:	Elsevier Science
ISSN:	1062-9408
Publication language:	English
Institution:	Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject:	330 Economics
Abstract:	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.