Firm Size and Cyclical Variations in Stock Returns
用灵活的经济计量模型检验了信贷市场不完美理论，发现小企业风险在经济衰退和扩张期的不对称性比大企业更显著，其预期股票收益对信贷条件更敏感。
Recent imperfect capital market theories predict the presence of asymmetries in the variation of small and large firms' risk over the economic cycle. Small firms with little collateral should be more strongly affected by tighter credit market conditions in a recession state than large, better collateralized ones. This paper adopts a flexible econometric model to analyze these mplications empirically. Consistent with theory, small firms display the highest degree of asymmetry in their risk across recession and expansion states, which translates into a higher sensitivity of their expected stock returns with respect to variables that measure credit market conditions.