Firm Size and Cyclical Variations in Stock Returns

By Gabriel Pérez-Quirós, Allan G. Timmermann. 2000

657 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/821ea9d5bc716bda8c49b1a316829a309f9e6dac

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Citations in the corpus

Predictability of stock returns and asset allocation under structural breaks (2011, background): “This point has been emphasized by Pesaran and Timmermann (1995) and, more recently in a Bayesian setting, investigated by Avramov (2002) and Cremers (2002).”
Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing (2003, background): “Growth and value firms have quite different cash flow durations, and Perez-Quiros and Timmermann (2000) show that portfolios of large and small firms have different sensitivities to credit conditions so that we should at least expect them to have different loadings on r.”
Instability of Return Prediction Models (2006, background): “Chordia (2002), Bekaert and Hodrick (1992), Bossaerts and Hillion (1999), Brandt (1999), Campbell (1987), Campbell and Shiller (1988), Cochrane (1991), Fama and Schwert (1977), Fama and French (1988), Ferson and Harvey (1991), French, Schwert and Stambaugh (1987), Keim and Stambaugh (1986), Lamont (”
Peer Firms in Relative Performance Evaluation (2009, positive): “Perez-Quiros and Timmermann (2000) find that, during a recession, small firms are more adversely affected by worsening credit conditions such as an increase in interest rates.”
Yield Spreads as Alternative Risk Factors for Size and Book-to-Market (2006, background): “The findings are also consistent with previous studies that link higher stock returns on small firms to their vulnerability to variations in credit market conditions (see, e.g., Chan and Chen (1991) and Perez-Quiros and Timmermann (2000)).”
When does investor sentiment predict stock returns (2012, positive): “Following Perez-Quiros and Timmermann (2000) and Ozoguz (2009), X t−1 comprises dividend yield, default premium, and the short-term interest rate. µ st is the 3 × 1 vector of the regime-dependent intercepts, Φ st is the 3 × 3 matrix of the regime-dependent coefficients .”
Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns (2005, positive): “Another possibility is that small growth companies are particularly dependent on external nancing and thus are sensitive to equity market and broader nancial conditions (Ng, Engle, and Rothschild, 1992; Perez-Quiros and Timmermann, 2000).”
International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences (2005, background): “…version of the ICAPM in which the types (co-skewness and co-kurtosis in addition to 4See, e.g., Ang and Bekaert (2002), Ang and Chen (2002), Bekaert and Harvey (1995), Engel and Hamilton (1990), Guidolin and Timmermann (2006), Gray (1996), Perez-Quiros and Timmermann (2000) and Whitelaw (2001).”
Regime dependent determinants of credit default swap spreads (2008, background): “Among the variables examined are stock returns, interest rates and exchange rates (see Turner et al., 1989; Perez-Quiros and Timmermann, 2000; Taylor, 2004; Bansal et al., 2004; Alexander and Dimitriu, 2005; Cheung and Erlandsson, 2005; Francis and Owyang, 2005; Clarida et al., 2006 and many…”
Taking Stock: Monetary Policy Transmission to Equity Markets (2004, background): “Many papers in this literature (e.g., Lamont, Polk, and Saa-Requejo, 2001, Perez-Quiros and Timmermann, 2000) use changes in market interest rates or official rates as their measures of monetary policy.”
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2007, background): “In their study of economic expansion and stock returns, Perez-Quiros and Timmermann (2000) also find a link between asymmetric response to business cycles and firm size. On the other hand, Schwert (2003), among others, find that the size anomaly is no longer an anomaly after 1981. An interesting que”