The DOI matches its Crossref record; 45 of the 45 references it cites were found in a registry or an index.
Firm Size and Cyclical Variations in Stock Returns
Open accessAbstract
Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms' risk over the economic cycle. Small firms with little collateral should be more strongly affected by tighter credit market conditions in a recession state than large, better collateralized ones. This paper adopts a flexible econometric model to analyze these mplications empirically. Consistent with theory, small firms display the highest degree of asymmetry in their risk across recession and expansion states, which translates into a higher sensitivity of their expected stock returns with respect to variables that measure credit market conditions.
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Citations
Cites
The Cross‐Section of Expected Stock Returns
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Hamilton, J. D. (1989) · Econometrica · doi:10.2307/1912559 · Cited by 9,646
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
The relationship between return and market value of common stocks
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Cited by
Cooper, M. J., Gutierrez, R. C., & Hameed, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00665.x · Cited by 992
Bolton, P., & Freixas, X. (2000) · Journal of Political Economy · doi:10.1086/262121 · Cited by 677
Taking Stock: Monetary Policy Transmission to Equity Markets
Ehrmann, M., & Fratzscher, M. (2004) · Journal of Money, Credit, and Banking · doi:10.1353/mcb.2004.0063 · Cited by 465
Asset allocation under multivariate regime switching
Guidolin, M., & Timmermann, A. (2007) · Journal of Economic Dynamics and Control · doi:10.1016/j.jedc.2006.12.004 · Cited by 423
Self-citationGrowth or Glamour? Fundamentals and Systematic Risk in Stock Returns
Campbell, J. Y., Polk, C., & Vuolteenaho, T. (2010) · Review of Financial Studies · doi:10.1093/rfs/hhp029 · Cited by 359
Metadata
- Authors
- Perez‐Quiros, G., & Timmermann, A.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2000-06
- Volume
- 55
- Issue
- 3
- Pages
- 1229-1262
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2061807031
- Cited by
- 655
- References
- 45
- FWCI
- 29.81
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
