Why Has the Size Effect Disappeared?

62 Pages Posted: 1 Oct 2015 Last revised: 12 Mar 2019

See all articles by Dong-Hyun Ahn

Dong-Hyun Ahn

Seoul National University - School of Economics

Byoung-Kyu Min

Hanyang University

Bohyun Yoon

Kangwon National University

Date Written: September 30, 2015

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.

Keywords: Size effect, Business cycle duration

JEL Classification: E32, E44, G12, G14

Suggested Citation

Ahn, Dong-Hyun and Min, Byoung-Kyu and Yoon, Bohyun, Why Has the Size Effect Disappeared? (September 30, 2015). Journal of Banking and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2667574 or http://dx.doi.org/10.2139/ssrn.2667574

Dong-Hyun Ahn

Seoul National University - School of Economics ( email )

Kwanak-gu
Seoul, 151-742
Korea, Republic of (South Korea)

Byoung-Kyu Min (Contact Author)

Hanyang University ( email )

Seoul
Korea, Republic of (South Korea)

Bohyun Yoon

Kangwon National University ( email )

Chunchon
Korea, Republic of (South Korea)

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