Size and Return: A New Perspective

• Main Authors: FU, Fangjian, YANG, Wei
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: size effect; cross-section of stock returns; investor under-diversification; Business; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3223; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4222/viewcontent/20110620013314.pdf
• Institution: Singapore Management University

We document robust empirical evidence that, after controlling for idiosyncratic volatility, large stocks earn significantly higher returns than small stocks. Our empirical results indicate that idiosyncratic volatility is positively related to return, but negatively related to size. Hence, failure t...