The Size Effect and the Value Effect in the American Stock Market - Archive ouverte HAL
Article Dans Une Revue International Journal of Financial Research Année : 2023

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.

Domaines

Économie et finance quantitative [q-fin]
Fichier principal
Vignette du fichier
The Size Effect and the Value Effect in the American Stock Market.pdf (745.16 Ko) Télécharger le fichier
Origine Accord explicite pour ce dépôt

bing xiao  : Connectez-vous pour contacter le contributeur

https://hal.science/hal-04194510

Soumis le : vendredi 8 septembre 2023-15:37:15

Dernière modification le : mardi 12 septembre 2023-04:24:58

Télécharger pour visualiser

Dates et versions

hal-04194510 , version 1 (08-09-2023)

Identifiants

Citer

Bing Xiao. The Size Effect and the Value Effect in the American Stock Market. International Journal of Financial Research, 2023, 14 (1), pp.41. ⟨10.5430/ijfr.v14n1p41⟩. ⟨hal-04194510⟩

Exporter

BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite

Collections

PRES_CLERMONT CLERMA
52 Consultations
399 Téléchargements

Altmetric

Partager

More