Scale and the Scale Effect in Market‐based Accounting Research
指出市场基础会计研究中，市值对财务报表变量的回归结果主要由样本中最大的公司驱动，这种“规模效应”源于市值与变量间的非线性关系，并建议用市值作为加权最小二乘回归的除数以克服该效应。
The nature of the data we usually encounter in market‐based accounting research is such that the results of the regressions of market capitalization on financial statement variables (referred to ‘price‐levels’ regressions) are driven by a relatively small subset of the very largest firms in the sample. We refer to this overwhelming influence of the largest firms as the ‘scale effect’. This effect is more than heteroscedasticity. It arises due to the non‐linearity in the relation between market capitalization and the financial statement variables. We present the case that scale is market capitalization rather than a correlated omitted variable. Since scale is market capitalization, we advocate its use as a deflator in a regression estimated using weighted least squares. This regression overcomes the scale effect and the resultant regression residuals are more economically meaningful. Christie's (1987) depiction of scale is the same as ours but he advocates the use of the returns regression specification in order to avoid scale effects. We agree that returns regressions should be used unless the research question calls for a price‐levels regression.