EH.Net Abstracts in Economic History

                ABSTRACTS IN ECONOMIC HISTORY
                     (c) 2003 EH.Net
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Name: Margaryta Korolenko
Email: margaryta.korolenko at uni-tuebingen.de
Institution: University of Tuebingen

Co-author: Joerg Baten
Department of Economics
University of Tuebingen
Mohlstr. 36
D-72074 Tuebingen, Germany
E-mail: joerg.baten at uni-tuebingen.de

Title: War, Crisis, and the Capital Market: The Anomaly of the Size Effect 1880-1990

Internet Address of abstracted work: not available 

By mail:
Department of Economics
University of Tuebingen
Mohlstr. 36
D-72074 Tuebingen, Germany

Language: English

Abstract:
The "size effect" is an important capital market anomaly that standard
theory has not explained: stocks of smaller firms often do better than
large caps. Risk measures did not invalidate these results in previous
results. One hypothesis is that the size effect appears (and will
re-appear) both during wars and in the decade after war or economic and
political crises. Only the long-term perspective of economic history can
clarify this puzzle, because long time series are necessary to explore the
complicated - and fascinating relationship between war, crises and capital
market behavior. 

Bibliography: Korolenko, Margaryta and Joerg Baten. "War, Crisis, and the Capital Market: The Anomaly of the Size Effect 1880-1990." University of Tuebingen, working paper, 2003. 

Subject: H
Geographical Area: 0
Country/Region:
Time Period: 7, 8, 9

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