Studies out there that show when small/ mid/ large outperform? like, research, periods, during, growth

scruge

I've been looking for research into this. I've read the Fama French papers, which is close. But I'm looking for stuff like mid cap will lead out of recessions, large cap during stagnant growth. With charts for historical time periods. Anybody have any ideas?

Kapie

Systematic I'm not just looking at recessions, but all time periods essentially. A firm we work with for one of our pensions uses a very similar process for pickign stocks. Albeit this is more towards whether utilities, vs. energy vs. consumer discretionary. Theoretically just using small mid and large it should be easier.

MarginofSafety

How are you going to test this?

I if you find anything, its not going to be statistically significat, the sample of recessions is too small. If you're willing to omit mid cap you can use "SmB" which is the returns of small minus big. Regress it agains changes in the overall market.

I would read cross section of market returns :1992 Fama & French if you havent already. Get on SSRN too

economicz

Systematic Wrote:
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> Just a heads up... I believe the payoffs are
> normally pretty linear between deciles 1-10, I
> wouldn't expect midcap to spike or severly lag,
> especially over long periods of time. Short
> periods are very noisey. You wont be able to
> profit from anything you find.

Actually, mid cap is top performing over most longer term time frames. MissCleo, I'm sure the data is out there but if you have any type of holdings based analysis software (FactSet, Reuters, etc.) you can just break out market cap by quintiles, rebalance the quintiles monthly or quarter and take a look at the performance over time and in different market environments. Here is what I think you will find if you look over the long term (20 years or so).

LC does best in market declines.
SC does best in market rebounds.

Megacap did well during the dot com boom, which could skew the data on late market expansions a little bit.

segalm

Systematic Wrote:
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> And the data are raw txt files, youll have to do
> everything in excel


...baller

___________________________________________________
ChickenTikka Wrote:
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> Being Born Wealthy > Being Jewish or WASPY > Born
> Pretty > Top 5 MBA > CFA > Avg MBA > Born middle
> class > Born lower class > Born in crack house >
> Born middleclass in Asia and working in IT but
> looking to switch to buyside

wake2000

Thanks I'll take a look at this, even though the FF papers seemed to always skirt the issues of what does well under certain phases of the market. Surely Cambridge or Callan or somebody has to have this data. Otherwise I'll just write the damn paper and try to get it published.

bchadwick

Go the Ken French's website... he has monthly returns of the each decileof the market by market cap, Btm, E/P and etc...

Just a heads up... I believe the payoffs are normally pretty linear between deciles 1-10, I wouldn't expect midcap to spike or severly lag, especially over long periods of time. Short periods are very noisey. You wont be able to profit from anything you find.

And the data are raw txt files, youll have to do everything in excel