THE SIZE EFFECT IS PRIMARILY A PRICE EFFECT
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 8, Heft 3, S. 169-179
ISSN: 1475-6803
AbstractPrevious 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.