FIRM SIZE AND STOCK RETURNS: A QUANTITATIVE SURVEY
收集102篇已发表研究中的1746个估计值，对规模溢价进行元分析，发现文献存在显著偏向于统计显著的负斜率系数的发表偏误，校正后最小与最大市值股票的年收益差为1.72%。
Abstract Firm size is commonly used in numerous empirical asset pricing models as a determinant of expected stock returns. Yet there is little consensus over the magnitude and stability of the size premium. In fact, some researchers even question whether firm size should be used as a pricing factor. We collect 1746 estimates of the slope coefficients capturing the association between firm size and stock returns reported in 102 published studies and conduct the first meta‐analysis on the size premium. We find evidence of a strong bias toward publishing statistically significant negative slope coefficients. After correcting for the bias, we find that the literature implies a difference in annual stock returns on the smallest and the largest New York Stock Exchange (NYSE) market capitalization quintiles of 1.72%. For the time periods covered in the sampled articles, we find that the size premium was larger in earlier years and that the intensity of publication bias has been decreasing over time.