Date of Award
Master of Science (MS)
Economics and Finance
Banz (1981) found size effect using data over the period 1926–1975. This paper uses data from last 33 years from NYSE, Amex, and Nasdaq to test the existence of size effect and book-to-market effect. In this paper data is sorted by size and book-to-market ratio across quintiles. I runs the time-series regression taking advantage of CAPM model, Fama-French 3-factor model and Carhart 4-factor model to get three different alpha. With all next-month returns, this paper compares those low size/book-to-market next-month returns with those high size/book-to-market next-month returns and uses t-test to verify the existence of these two effects. This paper indicates that B/M (book-to-market) effect still exists. However, size effect does not exist anymore without the tiny firms (with their stock price under $5). In 1980-1990 period, the big-size firm outperform small-size firm by 0.26 percent.
Zhao, Zhe, "The Empirical Study of Size Effect, Book-to-Market Effect in US Security Market" (2014). All Graduate Plan B and other Reports. 435.
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