The objective of this paper is to analyze the small firm premium in the US equity market during the period 1998 to 2017. We find the difference in returns between large-sized firms and small-sized firms tends to emerge after economic recessions. In addition, although we find a significant size premium over the entire period, the size premium does not exist in the years following the recent financial crisis, which may imply a structural change in the market.
MSc in Finance Project-Simon Fraser University
Copyright is held by the author(s).
Member of collection