Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets
Journal article
Authors | Apergis, Nicholas and Payne, James |
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Abstract | Firm size is known to be an important factor affecting stock returns. This study proposes a panel threshold cointegration model to investigate the impact of the size effect on stock returns for the panel of G7 countries: Canada, France, Germany, Italy, Japan, the U.K., and the U.S. over the period 1991:1–2012:12. The empirical analysis is based upon the nonlinear cointegration framework using the asymmetric ARDL cointegration methodology (Shin et al., 2011). This methodological approach permits a much richer degree of flexibility in the dynamic adjustment process toward equilibrium, than in the classical linear model. Our findings indicate the presence of asymmetric adjustment around a unique long‐run equilibrium. In particular, the empirical analysis provides evidence of asymmetric effects between stock returns and the size effect, while controlling for the book‐to‐market ratio and the price‐to‐earnings ratio. |
Keywords | Size effects; stock returns; panel threshold cointegration; G7 stock markets |
Year | 2013 |
Journal | Review of Financial Economics |
Publisher | Wiley |
Web address (URL) | http://hdl.handle.net/10545/623562 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623562 | |
Publication dates | 27 Aug 2013 |
Publication process dates | |
Deposited | 14 Mar 2019, 17:34 |
Contributors | University of Piraeus and University of New Orleans |
File | File Access Level Open |
File | File Access Level Open |
https://repository.derby.ac.uk/item/94229/resurrecting-the-size-effect-evidence-from-a-panel-nonlinear-cointegration-model-for-the-g7-stock-markets
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