(ⅥⅩ) versus Size

摘要

What explains the cross-section of returns in the US equity market? Forward implied volatility-as measured by the VIX Index-is a key determinant, report Maggie Copeland and Thomas Copeland. In fact, the change in VIX is statistically more important than market cap in explaining returns. Using a data sample for the period 2000-2011, the authors find that when the VIX has a positive move, large-cap stocks outperform small-cap stocks, and vice versa. Their finding debunks the commonly held assumption that the size effect always holds true.