We collect all available estimates of the relation between firm size and stock returns. Using meta-analysis methods we correct the literature for publication selection bias. We employ Bayesian model averaging to explore the sources of heterogeneity in the estimates of the size effect and evaluate the effects of data and method choices on the reported results.

Reference: Anton Astakhov, Tomas Havranek, and Jiri Novak (2017), "Firm Size and Stock Returns: A Meta-Analysis." Czech National Bank and Charles University, Prague. Available soon at meta-analysis.cz/size.