RT Journal Article SR Electronic T1 Practical Applications of VIX versus Size JF Practical Applications FD Institutional Investor Journals SP 1 OP 4 DO 10.3905/pa.2016.4.1.160 VO 4 IS 1 A1 Maggie Copeland A1 Thomas Copeland A1 Gauri Goyal YR 2016 UL https://pm-research.com/content/4/1/1.14.abstract AB VIX versus Size Maggie Copeland Thomas Copeland What explains the cross-section of returns in the US equity market? Maggie Copeland and Thomas Copeland, Co-Founders of Copeland Valuation Consultants, say that changes in VIX can explain stock returns. Their research shows that forward implied volatility, as measured by the VIX Index, is a key determinant,statistically more important than market cap.The VIX—the “fear gauge”—is a commonly used measure of market risk, a contrarian indicator that spikes when the stock market declines. Using a data sample from the period 2000–2011, the authors find that when the VIX has a positive move, large-cap stocks outperform small-cap stocks, and viceversa. Their finding debunks the commonly held assumption that the size effect always holds true.