Structural and Return Characteristics of Small and Large Firms
研究大小公司因结构差异而对相同经济新闻反应不同的原因，发现小公司组合包含更多低效率、高杠杆的边缘公司，并构建回报指数解释大小公司回报差异。
ABSTRACT We examine differences in structural characteristics that lead firms of different sizes to react differently to the same economic news. We find that a small firm portfolio contains a large proportion of marginal firms‐firms with low production efficiency and high financial leverage. We construct two size‐matched return indices designed to mimic the return behavior of marginal firms and find that these return indices are important in explaining the time‐series return difference between small and large firms. Furthermore, risk exposures to these indices are as powerful as log(size) in explaining average returns of size‐ranked portfolios.