The Size Effect Hypothesis, Market Volatility and S&P 500 Sector Stock Returns: An Empirical Study, 2018-2022
Breanne Greene, Mary Tully
Download Project (121 KB)
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.
Independent Research 202310 FIN 498 P1
Jon Fulkerson, Robert Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium, School of Business Administration
Institutional Learning Goals
"The Size Effect Hypothesis, Market Volatility and S&P 500 Sector Stock Returns: An Empirical Study, 2018-2022" (2023). Stander Symposium Projects. 2877.
Presentation: 9:00-10:15 a.m., Kennedy Union Ballroom