THE SIZE EFFECT IS PRIMARILY A PRICE EFFECT
The Journal of Financial ResearchPublished 1 September 1985
William Kross
Citations41
SJR quartileQ2
SJR score0.69
SNIP0.80
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Abstract
Abstract Previous research shows that stock returns are related to firm market value and earnings yield. This study decomposes the measurements of market value and earnings yield into separate components (share price and shares outstanding for market value, earnings per share and share price for earnings yield) and examines the relationship between stock return and these components. Share price represents approximately three‐fourths of the relationship between stock returns and either market value or earnings yield. Potential causes for this phenomenon are advanced.
Keywords
Economics, Econometrics and FinanceBusiness, Management and Accounting
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