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Why has the size effect disappeared?

Title
Why has the size effect disappeared?
Author
민병규
Keywords
Size effect; Business cycle duration
Issue Date
2019-05
Publisher
ELSEVIER SCIENCE BV
Citation
JOURNAL OF BANKING & FINANCE, v. 102, Page. 256-276
Abstract
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. (C) 2019 Elsevier B.V. All rights reserved.
URI
https://www.sciencedirect.com/science/article/pii/S0378426619300329?via%3Dihubhttps://repository.hanyang.ac.kr/handle/20.500.11754/151270
ISSN
0378-4266; 1872-6372
DOI
10.1016/j.jbankfin.2019.02.005
Appears in Collections:
COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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