Size matters, if you control your junk

Volume: 129, Issue: 3, Pages: 479 - 509
Published: Sep 1, 2018
Abstract
The size premium has been accused of having a weak historical record, being meager relative to other factors, varying significantly over time, weakening after its discovery, being concentrated among microcap stocks, residing predominantly in January, relying on price-based measures, and being weak internationally. We find, however, that these challenges disappear when controlling for the quality, or its inverse, junk, of a firm. A significant...
Paper Details
Title
Size matters, if you control your junk
Published Date
Sep 1, 2018
Volume
129
Issue
3
Pages
479 - 509
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