U.S. Small-Cap Indexes: <i>An Empirical Analysis of Factor Exposure and Return</i>

Ascioglu, Asli; B, Mcdermott John

doi:10.3905/jii.2014.5.3.021

Cited by 1 publication

(1 citation statement)

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“…Switzer (2010), examining the relative performance of small-cap stocks vis-a-vis large-cap stocks surrounding economic troughs and peaks, found that small-cap stocks tend to outperform (lag) large-cap stocks during the period subsequent (prior) to economic troughs (economic peaks). Asli (2014) examined the risk and return characteristics of well-known small-cap indices in the US market and found a significant difference in both the absolute and riskadjusted returns in the small-cap index category. Further, Gorman (2003) found significant positive abnormal returns in 165 actively managed small-cap portfolios after considering the transaction costs.…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility Spillover Dynamics between Large-, Mid-, and Small-Cap Stocks in the Time-Frequency Domain: Implications for Portfolio Management

Jena

Tiwari

Dash

et al. 2021

JRFM

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The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility spillover (i.e., connectedness) is elevated between large-, mid-, and small-cap stocks during the study period. This high level of spillover exists in the short run only, and declines gradually in the medium to long run, thus providing opportunities for portfolio diversification (hedging) in multi-cap investing during the medium-to-long run (short run) only. Like total connectedness, a similar pattern of bilateral connectedness is observed between either of the two indices, thus providing a similar opportunity in the short and long runs. The mid-cap index emerges as the major contributor to total volatility in the system, followed by the small- and large-cap indices, during the analyzed period. The volatility spillover is time-varying in both the time and frequency domains.

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Section: Literature Reviewmentioning

confidence: 99%