The Size Effect and the Value Effect in the American Stock Market
Résumé
This article aims to investigate the efficiency of the SP500 indexes over the 1996-2021 period. In our study, we also analysed the possible link between the size effect, the value effect and the business cycles. The results show the existence of a size effect and a reversed value effect during the whole period. However, when considering the sub periods, the anomalies are not persistent. These results indicate the importance of considering the market as a whole when studying efficiency.
Mots clés
- G14
- G17
- G12
- G10
- Efficient Market Hypothesis (EMH) JEL Classification: G1
- US stock market
- Book to Market effect
- size effect
- anomalies
- CAPM
- GARCH
- market risk premium
- market risk premium GARCH CAPM anomalies size effect Book to Market effect US stock market Efficient Market Hypothesis (EMH) JEL Classification: G1 G10 G12 G14 G17
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