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Journal Articles International Journal of Financial Research Year : 2023

The Size Effect and the Value Effect in the American Stock Market

Abstract

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.
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Dates and versions

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

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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⟩
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