Firm size, economic risks, and the cross-section of international stock returns

Atanasov, Victoria; Nitschka, Thomas

doi:10.1016/j.najef.2016.12.004

Cited by 12 publications

(5 citation statements)

References 47 publications

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“…the perceived tendency of small-cap stock to outperform their medium-and largecap counterparts) was found to be largest among stocks with below-average market capitalization. This finding reaffirms the existence of "size" anomaly which coincides with recent finding by C. Ang (2018), Atanasov and Nitschka (2017). To the end, from the empirical evidence, we might opine that the inclusion of size premium can craft traditional capital asset pricing model more effective and may improve the description of the frontier market DSE.…”

Section: Discussionsupporting

confidence: 88%

“Beta” with “Size Premium” an Augmented Approach in the Frontier Equity Market: Evidence from Dhaka Stock Exchange

Khatun¹,

Islam²

2022

Journal of Applied Finance &Amp; Banking

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Traditionally, firm size has adopted in numerous heuristic asset pricing models as a determining factor of expected stock returns. So far as like systematic risk “beta”, there is diminutive consensus over the magnitude and firmness of the “size” premium. Converging on the controversy this article attempts to examine the traditional Capital Asset Pricing Model (CAPM) and “size” augmented CAPM in the Dhaka Stock Exchange (DSE). The goal of this article is to examine the impact of an overall market factor and factor related to the firm size risk on expected stock returns at the portfolio level. Our sample encompasses non-financial stocks listed in DSE, with daily observations starting from January 2014 to December 2018. Depending on Market Capitalization and Book-to-Market Ratios we construct nine different portfolios, Ordinary Least Square (OLS) regression methodology is used to examine the models. Unlike common reckoning, we observe the strong existence of the “size” effect in frontier equity market DSE and has a tangible impact on explaining expected stock returns at the portfolio level. Additionally, the “size” augmented Capital Asset Pricing Model explains DSE better than the standard CAPM, may indeed be a good tool for a realistic assessment of the expected asset returns, and can improve the description of equilibrium in the Frontier equity market DSE. JEL classification numbers: E44, G11, G12. Keywords: Capital Asset Pricing Model (CAPM), Size Premium, Frontier Equity Market.

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Section: Discussionsupporting

confidence: 88%

“Beta” with “Size Premium” an Augmented Approach in the Frontier Equity Market: Evidence from Dhaka Stock Exchange

Khatun¹,

Islam²

2022

Journal of Applied Finance &Amp; Banking

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“…It is above all the economic cycles in recession that can pose a major threat to the company. Some changes, such as lowering wholesale prices, can lead to increased profits, while others can slow down the growth of companies, such as rising interest rates (Atanasov and Nitschka 2017 ). This type of risk affects the stability that is created between costs and revenues and therefore has significant impact on the effects of the income produced by the firm.…”

Section: Theoretical Frameworkmentioning

confidence: 99%

Flexibility and Resilience in Corporate Decision Making: A New Sustainability-Based Risk Management System in Uncertain Times

Settembre-Blundo

González-Sánchez

Medina-Salgado

et al. 2021

Glob J Flex Syst Manag

185

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Risk management plays a key role in uncertain times, preventing corporations from acting rashly and incorrectly, allowing them to become flexible and resilient. A global turbulence such as the COVID-19 pandemic has had a strong impact on individual companies and entire economic sectors, raising the question of whether a paradigm shift is necessary, in order to enable a new cycle of development that is much environmentally, socially and economically sustainable. This environmental and socio-economic context of profound uncertainty forces organizations to consider more carefully the risk factors affecting their business continuity, as well as how these factors relate to sustainability issues. However, there is a gap in knowledge about how risk management systems relate to sustainability management systems, and how both of them exert influence on business performance, especially from a theoretical point of view. The aim of this study is to address this gap, by developing a new interpretative framework for the analysis of risk management strategies in organizations. This approach has been identified in economic hermeneutics as an innovative methodological tool to improve the knowledge of risk and design the most appropriate management strategies. The paper provides two main results: the first one is the construction of a theoretical model that relates risk management to sustainability management; the second one is an operational framework of multidimensional risk assessment useful for analysis at different levels (business, competitive scenario and system). Finally, the model also makes it possible to carry out a sustainability assessment through risk evaluation in the perspective of the sustainable development goals.

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“…Firm size is a description of the company's financial capability in a certain period (Atanasov & Nitschka, 2017). Firm size is a measure of the size of a company seen from the amount of equity value, sales value or asset value (Mayuni & Suarjaya, 2018).…”

Section: Firm Sizementioning

confidence: 99%

Corporate Social Responsibility, Firm Size, Inflation, Interest Rate, and Exchange Rate on Stock Returns

Rochmayasari

2022

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This study aims to examine the effect of partially and simultaneously between corporate social responsibility, firm size, inflation, interest rates, and exchange rates on stock returns. This research uses quantitative methods. The population in this study are all automotive and their components sub-sector companies listed on the Indonesia Stock Exchange from 2014 to 2018. The sample selection technique uses a purposive sampling method. The sample in this study was six automotive companies, and their components used quarterly data, so a total of 120 samples. The analysis technique used is multiple linear regression analysis with the help of SPSS software version 20. The partial analysis results show that corporate social responsibility and interest rates have a negative and not significant effect on stock returns. Firm size, inflation and exchange rates have a positive and not significant effect on stock returns. Simultaneously corporate social responsibility, firm size, inflation, interest rates, and exchange rates do not affect stock returns.

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Firm size, economic risks, and the cross-section of international stock returns

Cited by 12 publications

References 47 publications

“Beta” with “Size Premium” an Augmented Approach in the Frontier Equity Market: Evidence from Dhaka Stock Exchange

“Beta” with “Size Premium” an Augmented Approach in the Frontier Equity Market: Evidence from Dhaka Stock Exchange

Flexibility and Resilience in Corporate Decision Making: A New Sustainability-Based Risk Management System in Uncertain Times

Corporate Social Responsibility, Firm Size, Inflation, Interest Rate, and Exchange Rate on Stock Returns

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