Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns
研究发现1980年代后规模效应消失是由于小公司遭受负面盈利冲击而大公司获得正面盈利冲击，调整盈利冲击的价格影响后，规模效应在预期收益的横截面中依然稳健。
Many studies report that the size effect in the cross-section of stock returns disappeared after the early 1980s. This paper shows that its disappearance can be attributed to negative shocks to the profitability of small firms and positive shocks to big firms. After adjusting for the price impact of profitability shocks, we find a robust size effect in the cross-section of expected returns after the early 1980s. Our results highlight the importance of in-sample cash-flow shocks in understanding cross-sectional return predictability.Received April 2, 2014; editorial decision August 6, 2018 by Editor Laura Starks.