five stock market crashes relative to lower beta stocks. This result is in line with the CAPM, which predicts that stocks with higher betas would lose more value in down markets relative to low beta stocks. The regression coefficient of the size (TCap) variable is significant with a negative sign for the 1987 crash and with a positive sign for the 1998, 2000, and 2008 crashes. It is not statistically significant for the 1997 crash. The Fama and French (1992, 1993) three-factor CAPM argues that large firms are less risky than smaller firms. Therefore, the TCap variable should have a positive sign in a stock market crash. The 1998, 2000, and 2008 results confirm the prediction of the model. However, our results indicate that larger firms lost more pared with smaller firms in the 1987 crash.
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