Why has the size effect disappeared?

This paper explores why the size effect vanished after the early 1980s. We show that the size effects are significantly positive primarily at the bottom of the business cycles. More importantly, this dependency of the size effect on the business cycles is preserved even after the 1980s. Therefore, o...

Full description

Saved in:
Bibliographic Details
Published in:Journal of banking & finance 2019-05, Vol.102, p.256-276
Main Authors: Ahn, Dong-Hyun, Min, Byoung-Kyu, Yoon, Bohyun
Format: Article
Language:English
Subjects:
Business cycle duration
Size effect
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper explores why the size effect vanished after the early 1980s. We show that the size effects are significantly positive primarily at the bottom of the business cycles. More importantly, this dependency of the size effect on the business cycles is preserved even after the 1980s. Therefore, our findings suggest that while unconditional 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 effect.
ISSN:0378-4266
1872-6372
DOI:10.1016/j.jbankfin.2019.02.005