Structural and Return Characteristics of Small and Large Firms
发现小公司组合中包含大量低效率、高杠杆的边缘公司，并构建了两个规模匹配的回报指数，这些指数能解释大小公司回报的时间序列差异和平均回报差异。
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.