The Size Effect Hypothesis, Market Volatility and S&P 500 Sector Stock Returns: An Empirical Study, 2018-2022

Authors

Presenter(s)

Breanne Greene, Mary Tully

Comments

Presentation: 9:00-10:15 a.m., Kennedy Union Ballroom

Files

Description

The size effect hypothesis states that small cap portfolios will outperform large cap portfolios over extended periods of time. In this study, because of the increased market volatility in recent years, we argue the hypothesis should be reversed i.e., portfolios of less risky large cap stocks will outperform more risky portfolios of small cap stocks. To prove or disprove our argument, we construct large and small cap portfolios across 8 S&P 500 sectors and compare their returns over the 5 year period 2018-2022. The 8 S&P 500 sectors are: (1) consumer staples, (2), consumer discretionary, (3) health care, (4) industrials, (5) information technology, (6) real estate, (7) communications, and (8) financials.

Publication Date

4-19-2023

Project Designation

Independent Research 202310 FIN 498 P1

Primary Advisor

Jon Fulkerson, Robert Dean

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium, School of Business Administration

Institutional Learning Goals

Scholarship

Recommended Citation

"The Size Effect Hypothesis, Market Volatility and S&P 500 Sector Stock Returns: An Empirical Study, 2018-2022" (2023). Stander Symposium Projects. 2877.
https://ecommons.udayton.edu/stander_posters/2877