Title: The size effect in the stock market
Authors: Andrey Sarantsev - University of Nevada in Reno (United States) [presenting]
Abstract: Returns of equally-weighted size deciles of the USA stock market from the Center for Research in Securities Prices database 1926-2020 are compared. We study dependence of these returns upon market weights and the benchmark = the top decile. We construct a simple time series model and study its properties.