Resurrecting the size effect: Evidence from a panel nonlinear cointegration model forthe G7 stock markets
Firm size is known to be an important factor affecting stock returns. This study proposes a panel threshold cointegration model to investigate the impact of the size effect on stock returns for the panel of G7 countries: Canada, France, Germany, Italy, Japan, the U.K., and the U.S. over the period 1...
| Main Authors: | , |
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| Format: | Journal Article |
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Elsevier BV * North-Holland
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/30356 |
| _version_ | 1848753065893560320 |
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| author | Apergis, Nicholas Payne, James |
| author_facet | Apergis, Nicholas Payne, James |
| author_sort | Apergis, Nicholas |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Firm size is known to be an important factor affecting stock returns. This study proposes a panel threshold cointegration model to investigate the impact of the size effect on stock returns for the panel of G7 countries: Canada, France, Germany, Italy, Japan, the U.K., and the U.S. over the period 1991:1–2012:12. The empirical analysis is based upon the nonlinear cointegration framework using the asymmetric ARDL cointegration methodology (Shin et al., 2011). This methodological approach permits a much richer degree of flexibility in the dynamic adjustment process toward equilibrium, than in the classical linear model. Our findings indicate the presence of asymmetric adjustment around a unique long-run equilibrium. In particular, the empirical analysis provides evidence of asymmetric effects between stock returns and the size effect, while controlling for the book-tomarket ratio and the price-to-earnings ratio. |
| first_indexed | 2025-11-14T08:18:36Z |
| format | Journal Article |
| id | curtin-20.500.11937-30356 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:18:36Z |
| publishDate | 2013 |
| publisher | Elsevier BV * North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-303562017-09-13T15:32:01Z Resurrecting the size effect: Evidence from a panel nonlinear cointegration model forthe G7 stock markets Apergis, Nicholas Payne, James Size effect G7 stock markets Stock returns Panel threshold cointegration Firm size is known to be an important factor affecting stock returns. This study proposes a panel threshold cointegration model to investigate the impact of the size effect on stock returns for the panel of G7 countries: Canada, France, Germany, Italy, Japan, the U.K., and the U.S. over the period 1991:1–2012:12. The empirical analysis is based upon the nonlinear cointegration framework using the asymmetric ARDL cointegration methodology (Shin et al., 2011). This methodological approach permits a much richer degree of flexibility in the dynamic adjustment process toward equilibrium, than in the classical linear model. Our findings indicate the presence of asymmetric adjustment around a unique long-run equilibrium. In particular, the empirical analysis provides evidence of asymmetric effects between stock returns and the size effect, while controlling for the book-tomarket ratio and the price-to-earnings ratio. 2013 Journal Article http://hdl.handle.net/20.500.11937/30356 10.1016/j.rfe.2013.08.003 Elsevier BV * North-Holland restricted |
| spellingShingle | Size effect G7 stock markets Stock returns Panel threshold cointegration Apergis, Nicholas Payne, James Resurrecting the size effect: Evidence from a panel nonlinear cointegration model forthe G7 stock markets |
| title | Resurrecting the size effect: Evidence from a panel nonlinear cointegration model forthe G7 stock markets |
| title_full | Resurrecting the size effect: Evidence from a panel nonlinear cointegration model forthe G7 stock markets |
| title_fullStr | Resurrecting the size effect: Evidence from a panel nonlinear cointegration model forthe G7 stock markets |
| title_full_unstemmed | Resurrecting the size effect: Evidence from a panel nonlinear cointegration model forthe G7 stock markets |
| title_short | Resurrecting the size effect: Evidence from a panel nonlinear cointegration model forthe G7 stock markets |
| title_sort | resurrecting the size effect: evidence from a panel nonlinear cointegration model forthe g7 stock markets |
| topic | Size effect G7 stock markets Stock returns Panel threshold cointegration |
| url | http://hdl.handle.net/20.500.11937/30356 |