![The Size Effect Hypothesis, Market Volatility and S&P 500 Sector Stock Returns: An Empirical Study, 2018-2022](https://ecommons.udayton.edu/stander_posters/3879/thumbnail.jpg)
The Size Effect Hypothesis, Market Volatility and S&P 500 Sector Stock Returns: An Empirical Study, 2018-2022
Presenter(s)
Breanne Greene, Mary Tully
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 2018-2023. 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 ECO 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. 2878.
https://ecommons.udayton.edu/stander_posters/2878
![The Size Effect Hypothesis, Market Volatility and S&P 500 Sector Stock Returns: An Empirical Study, 2018-2022](https://ecommons.udayton.edu/stander_posters/3879/thumbnail.jpg)
Comments
Presentation: 9:00-10:15 a.m., Kennedy Union Ballroom