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Size Effect Study In The Major Stock Market Of America, Estudio Del Efecto Tamano En Los Principales Mercados Bursatiles De Latinoamerica

Author

Listed:
  • Juan Benjamin Duarte Duarte
  • Zulay Yesenia Ramirez Leon
  • Katherine Julieth Sierra Suarez

Abstract

In this paper we study the existence of size effect in major stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru), by analyzing the historical return of the companies listed on each stock exchange, for the period between January 2002 and May 2012. The research is conducted in three phases: In the first size portfolios are structured, the second is an analysis of profitability and portfolio risk and finally develop a temporary serial contrast in the context of the CAPM. Results show that in general the size effect studied by Banz (1981) does not present in the major stock markets of Latin America, however evidence for the presence of reverse effect in Brazil, Mexico, Chile and Colombia.

Suggested Citation

  • Juan Benjamin Duarte Duarte & Zulay Yesenia Ramirez Leon & Katherine Julieth Sierra Suarez, 2014. "Size Effect Study In The Major Stock Market Of America, Estudio Del Efecto Tamano En Los Principales Mercados Bursatiles De Latinoamerica," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(5), pages 41-50.
    • Handle: RePEc:ibf:riafin:v:7:y:2014:i:5:p:41-50
    as

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    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
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    3. Horowitz, Joel L. & Loughran, Tim & Savin, N. E., 2000. "The disappearing size effect," Research in Economics, Elsevier, vol. 54(1), pages 83-100, March.
    4. Fernando Rubio, 2004. "Corte Transversal De Los Retornos Esperados En El Mercado Accionario Chileno," Finance 0402002, University Library of Munich, Germany.
    5. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Latin America Stock Markets; Size Effect; CAPM;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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