Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns

2007 ◽  
Author(s):  
Kewei Hou ◽  
Mathijs A. Van Dijk
Keyword(s):  
Size Effect ◽  
Stock Returns ◽  
Firm Size ◽  
Expected Stock Returns

New Evidence on the Role of Size Effect in Determining the Pricing of Risk, Volatility Dynamics, and Economic Exposure of Firm Returns

2020 ◽  
Vol 9 (3) ◽  
pp. 1-25
Author(s):  
Faisal Khan ◽  
Sharif Ullah Jan
Keyword(s):  
Size Effect ◽  
Stock Returns ◽  
Firm Size ◽  
Research Study ◽  
Leverage Effect ◽  
Conditional Heteroskedasticity ◽  
Economic Factors ◽  
Monthly Data ◽  
New Evidence

This research study analyses the role of size effect in detecting the pricing of risk, various volatility dynamics, and economic exposure of firm returns on the Pakistani stock market by employing monthly data for the period from 1998 to 2018. Three generalized autoregressive conditional heteroskedasticity models were applied: GARCH(1,1) for capturing different volatility dynamics, GARCH-M for pricing of risk, and EGARCH for asymmetric and leverage effect. The findings of the study are as follows: Firstly, the authors untie that pricing of risk is subject to considerable variations with respect to firm size. Secondly, in the process of detecting whether the firm size matters in the case of asymmetry and leverage effect, they find that it is indeed the case. Thirdly, size effect plays a substantial role in determining various volatility dynamics. Finally, they uncover that economic factors affect stock returns differently based on firm size, signifying the role of size effect.

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

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