A Re-examination of the Size Effect.
碩士 === 逢甲大學 === 財務金融學所 === 92 === Modern financial researches have pointed out that small firms usually offer higher stock returns for investors than large ones. This study has extended the process of Berk (1997) in order to look for the factor(s) that makes size matter. For the period from January...
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/01802419875476999628 |
| Summary: | 碩士 === 逢甲大學 === 財務金融學所 === 92 === Modern financial researches have pointed out that small firms usually offer higher
stock returns for investors than large ones. This study has extended the process of
Berk (1997) in order to look for the factor(s) that makes size matter. For the period
from January 1985 to December 2002, the empirical result of this article tends to
support the fact that the size effect still exists in the U.S. market. Fama & French
(1997) concluded that the ″low price effect″ is as the result of the higher discount rate
for low-price stocks. After adjusting the risk degree with the Sharp index, we found
that size would not affect the results of investing. Our conclusion supports Berk
(1997) in that the size effect results from the risk of stock prices, not from the market
value itself.
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