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 |
| Published: |
Elsevier BV * North-Holland
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/30356 |
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