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Expected Stock Market Volatility and the Size Effect [PREMIUM]

Is the size effect (small stocks tend to outperform large stocks) related to level of market risk as indicated by expected stock market volatility? In their September 2016 paper entitled “High Risk Episodes and the Equity Size Premium”, Naresh Bansal,  Robert  Connolly and Chris Stivers  investigate the relationship between the size effect and two measures of expected stock More
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