• Corpus ID: 44241464

THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE

@inproceedings{Banz2002THERB,
  title={THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE},
  author={Rolf W. Banz},
  year={2002}
}
This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect’ has been in existence for at least forty years and is evidence that the capital asset pricing model is misspecttied. The size elfect is not linear in the market value; the main effect occurs for very small tirms while there is little difference m return between… 

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