Số phát hành: Số 10 - Tháng 4 - 2026Tài chính - Ngân hàng - Bảo hiểm
Firm size and stock returns: Evidence of the Flight-to-Quality effect in the Ho Chi Minh Stock Exchange
Xuất bản: tháng 6 28, 2026
Tóm tắt
This study examines the causal relationship between firm size and stock returns and how this relationship was altered by the unprecedented shock of the COVID-19 pandemic. Employing a fixed-effects model with clustered standard errors, the results confirm a strong negative association between firm size and stock returns, consistent with the conventional size effect. However, the interaction between firm size and a COVID-19 dummy variable is significantly positive, indicating that the pandemic attenuated the negative size–return relationship, in line with the Flight-to-Quality mechanism. These findings provide new empirical evidence on investor behavior and risk pricing dynamics in the periods before and after the COVID-19 shock.
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