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A Possible Explanation of the Small Firm Effect

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  1. Christine V. Zavgren & Michael T. Dugan & James M. Reeve, 1988. "The Association Between Probabilities of Bankruptcy and Market Responses—A Test of Market Anticipation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 15(1), pages 27-45, March.
  2. Elfakhani, Said & Wei, Jason, 2003. "The survivorship bias, share price effect, and small firm effect in Canadian markets," Review of Financial Economics, Elsevier, vol. 12(4), pages 397-411.
  3. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.
  4. Songül Kakýllý Acaravcý & Yunus Karaömer, 2018. "The Comparative Performance Evaluation of the Fama-French Five Factor Model in Turkey," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 6(3), pages 1-12.
  5. Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
  6. Easterday, Kathryn E. & Sen, Pradyot K. & Stephan, Jens A., 2009. "The persistence of the small firm/January effect: Is it consistent with investors' learning and arbitrage efforts?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1172-1193, August.
  7. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
  8. Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
  9. Chen, Tsung-Cheng & Chien, Chin-Chen, 2011. "Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 208-229, April.
  10. Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 42-62.
  11. Attiya Yasmeen Javid, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE Research Report 2000:3, Pakistan Institute of Development Economics.
  12. Cong Chen & Carole Comerton-Forde & David R. Gallagher & Terry S. Walter, 2010. "Investment manager skill in small-cap equities," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 23-49, April.
  13. Byung T. Ro, 1988. "Firm size and the information content of annual earnings announcements," Contemporary Accounting Research, John Wiley & Sons, vol. 4(2), pages 438-449, March.
  14. Ram Mudambi & Carmela Nicosia, 1998. "Ownership structure and firm performance: evidence from the UK financial services industry," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 175-180.
  15. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research.
  16. Terence Mills & J. Andrew Coutts, 1995. "Calendar effects in the London Stock Exchange FT-SE indices," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 79-93.
  17. Apergis, Nicholas & Payne, James E., 2014. "Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets," Review of Financial Economics, Elsevier, vol. 23(1), pages 46-53.
  18. Porter, David C. & Powell, Gary E. & Weaver, Daniel G., 1996. "Portfolio rebalancing, institutional ownership, and the small firm-January effect," Review of Financial Economics, Elsevier, vol. 5(1), pages 19-29.
  19. Wolfgang Aussenegg & Andreas Grünbichler, 1999. "Der Size-Effekt am Österreichischen Aktienmarkt," Schmalenbach Journal of Business Research, Springer, vol. 51(7), pages 636-661, July.
  20. Rodney Paul & Andrew P. Weinbach & Eric Higger, 2013. "The “Large-Firm” Effect? Bettor Preferences And Market Prices In Ncaa Football," Journal of Prediction Markets, University of Buckingham Press, vol. 7(2), pages 29-41.
  21. K. C. John Wei & Stanley R. Stansell, 1991. "Benchmark Error And The Small Firm Effect: A Revisit," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(4), pages 359-369, December.
  22. Poshakwale, Sunil & Theobald, Michael, 2004. "Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 385-400, October.
  23. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
  24. Durand, Robert B. & Juricev, Alex & Smith, Gary W., 2007. "SMB -- Arousal, disproportionate reactions and the size-premium," Pacific-Basin Finance Journal, Elsevier, vol. 15(4), pages 315-328, September.
  25. Said Elfakhani & Jason Wei, 2003. "The survivorship bias, share price effect, and small firm effect in Canadian markets," Review of Financial Economics, John Wiley & Sons, vol. 12(4), pages 397-411.
  26. Snigaroff, Robert & Wroblewski, David, 2021. "Earnings and liquidity factors," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 508-523.
  27. Kohers, Theodor & Pandey, Vivek & Kohers, Gerald, 1997. "Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 523-545.
  28. Thomas H. McInish & Robert A. Wood, 1985. "A New Approach To Controlling For Thin Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 69-76, March.
  29. Olbryś Joanna, 2012. "Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds," Folia Oeconomica Stetinensia, Sciendo, vol. 10(2), pages 60-80, January.
  30. Dennis R. Capozza & Sohan Lee, 1995. "Property Type, Size, and REIT Value," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 363-380.
  31. Fernandez, Pablo, 2004. "Are calculated betas good for anything?," IESE Research Papers D/555, IESE Business School.
  32. Christoph Kaserer & Niklas Wagner & Ann-Kristin Achleitner, 2005. "Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity," Springer Books, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel (ed.), Risk Management, edition 0, pages 259-277, Springer.
  33. Tarunika Jain Agrawal & Sanjay Sehgal & Vibhuti Vasishth, 2020. "Firm Attributes, Corporate Fundamentals and Investment Strategies: An Empirical Study for Indian Stock Market," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 45(3), pages 366-387, August.
  34. Thomas J. Cook & Michael S. Rozeff, 1984. "Coskewness, Dividend Yield And Capital Asset Pricing," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(3), pages 231-241, September.
  35. Shieh, Shwu-Jane & Lin, Chih-Yung & Ho, Po-Hsin, 2012. "Large changes in stock prices: Market, liquidity, and momentum effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 183-197.
  36. Malik Muhammad Shehr Yar & Attiya Yasmin Javid, 2014. "Liquidity Benefits From Underpricing: Evidence from Initial Public Offerings Listed at Karachi Stock Exchange," PIDE-Working Papers 2014:101, Pakistan Institute of Development Economics.
  37. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
  38. Vibhuti Vasishth & Sanjay Sehgal & Gagan Sharma, 2021. "Size Effect in Indian Equity Market: Myth or Reality?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 101-119, March.
  39. Benaroch, Michel & Chernobai, Anna & Goldstein, James, 2012. "An internal control perspective on the market value consequences of IT operational risk events," International Journal of Accounting Information Systems, Elsevier, vol. 13(4), pages 357-381.
  40. Stefano Ciliberti & Emmanuel S'eri'e & Guillaume Simon & Yves Lemp'eri`ere & Jean-Philippe Bouchaud, 2017. "The "Size Premium" in Equity Markets: Where is the Risk?," Papers 1708.00644, arXiv.org, revised Aug 2017.
  41. Cheol S. Eun & H. Jonathan Jang, 2000. "Investor Recognition of Bankrputcy Costs: Evidence from the 1987 Market Crash," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 221-245, September.
  42. Terry L. Zivney & Donald J. Thompson II, 1987. "Relative Stock Prices And The Firm Size Effect," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 99-110, June.
  43. Pae, Yuntaek & Sabbaghi, Navid, 2015. "Equally weighted portfolios vs value weighted portfolios: Reasons for differing betas," Journal of Financial Stability, Elsevier, vol. 18(C), pages 203-207.
  44. David C. Porter & Gary E. Powell & Daniel G. Weaver, 1996. "Portfolio rebalancing, institutional ownership, and the small firm‐January effect," Review of Financial Economics, John Wiley & Sons, vol. 5(1), pages 19-29, December.
  45. William P. Lloyd & John S. Jahera Jr. & Steven J. Goldstein, 1986. "The Relation Between Returns, Ownership Structure, And Market Value," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(2), pages 171-177, June.
  46. Patricia Fraser, 1995. "Returns and firm size: A note on the UK experience 1970-1991," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 331-334.
  47. Amir Amel†Zadeh, 2011. "The Return of the Size Anomaly: Evidence from the German Stock Market," European Financial Management, European Financial Management Association, vol. 17(1), pages 145-182, January.
  48. Terry L Zivney & Donald J. Thompson II, 1989. "The Effect Of Market Proxy Rebalancing Policies On Detecting Abnormal Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(4), pages 293-299, December.
  49. Victor Chow, K. & Denning, Karen C. & Ferris, Stephen & Noronha, Gregory, 1995. "Long-term and short-term price memory in the stock market," Economics Letters, Elsevier, vol. 49(3), pages 287-293, September.
  50. Gariet WS Chow & Robert B Durand & SzeKee Koh, 2014. "Are ethical investments good?," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 645-665, November.
  51. Kie Wong & Ruth Tan & Wei Liu, 2006. "The Cross-Section of Stock Returns on The Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 26(1), pages 23-39, February.
  52. Enrico G. De Giorgi & Ola Mahmoud, 2016. "Naive Diversification Preferences and their Representation," Papers 1611.01285, arXiv.org, revised Nov 2016.
  53. Kang, Byoung Uk & In, Francis & Kim, Tong Suk, 2017. "Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 15-39.
  54. Jonathan Ross, 2023. "Does prior stock return correlation predict future stock return correlation?," SN Business & Economics, Springer, vol. 3(9), pages 1-15, September.
  55. Bley, Jorg & Saad, Mohsen, 2010. "Cross-cultural differences in seasonality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 306-312, September.
  56. Gualter Couto & Pedro Pimentel & Catarina Barbosa & Rui Alexandre Castanho, 2021. "The Month-of-the-Year Effect in the European, American, Australian and Asian Markets," Economies, MDPI, vol. 9(4), pages 1-14, November.
  57. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
  58. Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  59. Bjorn Wahlroos & Tom Berglund, 1983. "The January Effect on a Small Stock Market: Lumpy Information and Tax-Loss Selling," Discussion Papers 579, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  60. K. C. Chen & R. Stephen Sears, 1984. "How Many Small Firms Are Enough?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(4), pages 341-349, December.
  61. Ahmed Bouteska & Taimur Sharif & Mohammad Zoynul Abedin, 2024. "Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI‐listed firms," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3487-3509, July.
  62. Arbab Khalid Cheema & Wenjie Ding & Qingwei Wang, 2023. "The cross-section of January effect," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 513-530, October.
  63. Miralles-Quiros, Maria del Mar & Miralles-Quiros, Jose Luis & Gonçalves, Luis Miguel, 2017. "Análise do efeito tamanho na Bovespa," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 57(4), August.
  64. Gagan Sharma & Srividya Subramaniam & Sanjay Sehgal, 2021. "Are Prominent Equity Market Anomalies in India Fading Away?," Global Business Review, International Management Institute, vol. 22(1), pages 255-270, February.
  65. Argiro Svingou, 2013. "Cross-sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 63(1-2), pages 100-120, June.
  66. Pham, Peter K. & Kalev, Petko S. & Steen, Adam B., 2003. "Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 919-947, May.
  67. Harshita & Shveta Singh & Surendra S. Yadav, 2018. "Changing Nature of the Value Premium in the Indian Stock Market," Vision, , vol. 22(2), pages 135-143, June.
  68. Brian Du, 2019. "Relative option liquidity and price efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1119-1135, May.
  69. Robert J. Sweeney & Robert F. Scherer & Janet Goulet & Waldemar M. Goulet, 1996. "Investment Behavior and the Small Firm Effect," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 5(3), pages 251-269, Fall.
  70. Samer Al-Rjoub & Oscar Varela & M. Kabir Hassan, 2005. "The size effect reversal in the USA," Applied Financial Economics, Taylor & Francis Journals, vol. 15(17), pages 1189-1197.
  71. Francesco Campanella & Mario Mustilli & Eugenio D¡¯Angelo, 2016. "Efficient Market Hypothesis and Fundamental Analysis: An Empirical Test in the European Securities Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 27-42, February.
  72. Javier DePeña & Luis A. Gil-Alana, 2003. "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers 03/03, School of Economics and Business Administration, University of Navarra.
  73. Moller, Nicholas & Zilca, Shlomo, 2008. "The evolution of the January effect," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 447-457, March.
  74. Jenni L Bettman & Wen Sern Kelvin Ng & Stephen J Sault, 2011. "The economic significance of trading based on the size effect in Australia," Australian Journal of Management, Australian School of Business, vol. 36(1), pages 59-73, April.
  75. Lambert, Marie & Fays, Boris & Hübner, Georges, 2020. "Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods," Journal of Banking & Finance, Elsevier, vol. 114(C).
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