The authors examine differences in structural characteristics that lead firms of different sizes to react differently to the same economic news. They find that a small firm portfolio contains a large proportion of marginal firms--firms with low production efficiency and high financial leverage....

This paper studies the relation between changes in financial investment opportunities and changes in the macroeconomy. States variables, such as the lagged production growth rate, the default premium, the term premium, the short-term interest rate, and the market dividend-price ratio, are shown...

A comparison of single and multifactor portfolio performance methodologies using Value Line and size-ranked portfolios indicates that although both methodologies provide unbiased estimates of portfolio performance, there are systematic differences in the power of the two methodologies. The...

The pricing equation of Ross' (1976) APT model is derived using estimable parameters. Estimation errors are discussed in the framework of elementary perturbation analysis. Theoretically, a simple link is provided among the mean-variance efficient set mathematics, mutual fund separations,...