Purpose ? Many literature reports that returns on hedge portfolios which eliminate particular sort of risks are abnormal in the perspective of the traditional asset pricing models. This study examines the pervasiveness of anomalous returns conditioned on business cycle and size groups. Research design, data, and methodology ? We use the KOSPI and KOSDAQ market data from July 1991 to December 2013. To examine the pervasiveness of anomalies, we categorize all stocks into properly-sized groups and dichotomize our sample periods into expansion and recession periods, then construct the hedge portfolios by sorting stocks depending on anomaly variables and calculate their returns. Results ? The results demonstrate that four anomalies such as earnings yield, net stock issue, total asset growth, and liquidity appear pervasive across all of the size groups for the whole sample period. However, only the hedge returns of net stock issue are significant across all size groups during both expansion and recession. Conclusions ? Net stock issue can be considered as an appropriate proxy for the expected growth of book equity for all size groups in recession. This finding is expected to give insights to the executors of investment industry and to the researchers who are interested in relationship between the expected growth of book equity and business cycle risk.