The size premium, defined as the outperformance of equities of small and medium-sized companies compared with the shares of large companies, is subject to strong cyclical fluctuations over time. This study examines the predictability of this premium for the Swiss stock market. The forecasts used...

It has been known for some time that the returns of small firms often differ from those of large firms, and that asset pricing theories, including the Capital Asset Pricing Model and Arbitrage Pricing Theory, cannot account for the difference. Small-capitalization stocks have provided higher...