Systematic risk,total risk and size as determinants of stock market returns |
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| Affiliation: | 1. Karadeniz Technical University, Faculty of Medicine, Department of Emergency Medicine, Trabzon, Turkey;2. Ordu University, Training and Research Hospıtal, Turkey;3. Department of Emergency Medicine, Ordu, Turkey;4. Karadeniz Technical University, Faculty of Medicine, Department of Medical Biochemistry, Trabzon, Turkey;5. Ankara Training and Research Hospital, Department of Emergency Medicine, Ankara, Turkey;6. Acıbadem University, Faculty of Medicine, Department of Emergency Medicine, İstanbul, Turkey;1. Transilvania University of Brasov, B-dul Eroilor 29, 500036 Brasov, Romania;2. Institute for Economic Forecasting, Romanian Academy, Casa Academiei, Calea 13 Septembrie nr.13, sector 5, 050711 Bucuresti, Romania;3. Institute for Economic Forecasting, Romanian Academy, Casa Academiei, Calea 13 Septembrie nr.13, sector 5, 050711 Bucuresti, Romania |
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| Abstract: | This paper studies the historical relationship for the period 1962–1981 between stock market returns and the following variables: beta, residual standard deviation (or total variance), and size. We conclude that neither the traditional measure of risk (beta) nor the alternative risk measures (variance or residual standard deviation) can explain the cross-sectional variation in returns; only size seems to matter. When January returns are eliminated, even the size variable loses its statistical significance. |
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