Resurrecting the size effect: Evidence from a panel nonlinear cointegration model forthe G7 stock markets
MetadataShow full item record
Firm size is known to be an important factor affecting stock returns. This study proposes a panel threshold cointegration model to investigate the impact of the size effect on stock returns for the panel of G7 countries: Canada, France, Germany, Italy, Japan, the U.K., and the U.S. over the period 1991:1–2012:12. The empirical analysis is based upon the nonlinear cointegration framework using the asymmetric ARDL cointegration methodology (Shin et al., 2011). This methodological approach permits a much richer degree of flexibility in the dynamic adjustment process toward equilibrium, than in the classical linear model. Our findings indicate the presence of asymmetric adjustment around a unique long-run equilibrium. In particular, the empirical analysis provides evidence of asymmetric effects between stock returns and the size effect, while controlling for the book-tomarket ratio and the price-to-earnings ratio.
Showing items related by title, author, creator and subject.
Pojanavatee, Sasipa (2013)Mutual funds are emerging as an opportunity for investors to automatically diversify their investments in such a way that all their money is pooled and the investment decisions are left to a professional manager. There ...
Accounting Information and Excess Stock Returns: The Role of The Cost of Capital - New Evidence From US Firm-level DataApergis, Nicholas; Artikis, G.; Eleftheriou, S.; Sorros, J. (2012)The goal of this article is to investigate the impact of accounting information on the cost of capital as well as how the latter influences excess returns. The analysis has certain novelties: first, it extends prior works ...
An empirical testing of informational efficiency in Bangladesh capital market: Informational efficiency in Bangladesh capital marketJoarder, Munim; Ahmed, M.; Haque, T.; Hasanuzzaman, S. (2014)We investigate how efficiently the stock market participants incorporate the information contained in money supply changes into stock prices in an emerging economy like Bangladesh. Of particular interest is to test how ...