Firm Size and Stock Returns: A Quantitative Survey

Astakhov, Anton; Havránek, Tomáš; Novák, Jiří

doi:10.1111/joes.12335

Cited by 34 publications

(20 citation statements)

References 119 publications

(188 reference statements)

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“…According to him, large companies were not responded positively by stock returns. This was confirmed also by the results of Dahoei and Saidi's [9] research which researched the Tehran Stock Exchange and Duy & Phuoc [10] who researched the Ho Chi Minh City Stock Exchange, Also Astakhov et al [11] found that size negatively related to stock returns.…”

Section: Introductionsupporting

confidence: 67%

Study of Investment at the Capital Market in the Firm Sector Performs Well

Kusmayadi¹,

Firmansyah²,

Rustendi³

2020

Proceedings of the the 3rd International Conference on Advance &Amp; Scientific Innovation

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This research is a lesson to invest in the capital market in obtaining stock returns in companies listed in LQ45, which are companies that have good liquidity performance. The study was conducted in the period 2013 to 2018 using path analysis. The results found that of the three proposed predictor variables namely size, DER, and ROA, only DER was able to determine stock returns. The effect is positive so the greater the DER ratio, the better the stock returns obtained. Therefore, the amount of debt is not a problem if used as well as possible, because management at this type of company has successfully used funds from external to improve its performance which will ultimately increase returns. Besides, size is found as a variable that can predict ROA, not as a stock return predictor. But the effect is negative so the larger the size of the company the smaller the ROA ratio. This is a unique finding in companies that have high liquidity compared to other types of companies

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Section: Introductionsupporting

confidence: 67%

Study of Investment at the Capital Market in the Firm Sector Performs Well

Kusmayadi¹,

Firmansyah²,

Rustendi³

2020

Proceedings of the the 3rd International Conference on Advance &Amp; Scientific Innovation

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show abstract

“…Following previous studies (e.g., Jizi et al 2016; Bolton and Kacperczyk 2020), five firm-characteristics variables used in our two models. The first one is firms size, SIZE, which is measured as the logarithm of market capitalization (Astakhov et al 2019). The second variable is the profitability, ROA, that is calculated by return on assets ratio (Dbouk et al 2018).…”

Section: Research Modelsmentioning

confidence: 99%

The Impact of Environmental Sustainability Disclosure on Stock Return of Saudi Listed Firms: The Moderating Role of Financial Constraints

Alsahlawi

Chebbi

Ammer

2021

IJFS

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Environmental sustainability represents nowadays a significant factor for business sector. Firms carry out many initiatives to develop environmental practices. Investors increasingly consider environmental discloser by firms and integrate this disclosure into the investment decision-making process. Using a database of Saudi listed firms, this study adds to the literature by examining the relationship between the environmental sustainability disclosure and stock return and whether this relationship is moderated by the financial constraints. We find that the environmental sustainability disclosure has significant and negative impact on stock return, indicating that investors do not consider environmental disclosure when valuing the stocks. Furthermore, our results propose that the negative impact of environmental disclosure on stock return is more evident in firms with financial constraints. This study provides managerial implications for regulatory authorities, firms and investors. The environmental practices can be value relevant. However, these practices need to be efficiently integrated into stock valuation.

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Section: Literature Reviewmentioning

confidence: 99%

“…The negative relationship between size and stock returns has been examined in many studies (Astakhov et al., 2019). During certain subperiods, it is not significant, but overall, there is a premium of 1.72% between the smallest and largest quintiles of the NYSE (Astakhov et al., 2019). While some studies assert that the size effect disappeared in the early 1980s, a recent study confirms that when accounting for profitability shocks, the size effect is present and accounted for (Hou & Van Dijk, 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

Size, size potential, and expected stock returns

Taussig

2021

J Corp Accounting Finance

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The financial literature shows that, on average, larger firms earn lower returns. This study examines the relationship between market capitalization and stock returns, as well as the size growth potential of firms according to their economies of scale (size and size potential are not correlated). According to generally accepted beliefs, larger firms do earn lower returns on average. This study adds to the literature by finding that firms’ size potential (according to their economies of scale) is also negatively related to firms' average returns. This new information is significant–both statistically and economically.

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Firm Size and Stock Returns: A Quantitative Survey

Cited by 34 publications

References 119 publications

Study of Investment at the Capital Market in the Firm Sector Performs Well

Study of Investment at the Capital Market in the Firm Sector Performs Well

The Impact of Environmental Sustainability Disclosure on Stock Return of Saudi Listed Firms: The Moderating Role of Financial Constraints

Size, size potential, and expected stock returns

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