The size effect and default risk: Evidence from the Vietnamese stock market

2021 ◽  
Author(s):  
Le Quy Duong ◽  
Philippe Bertrand
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Default Risk

scholarly journals SIZE EFFECT AND STOCK BEHAVIOR DURING THE EXPANSION AND CONTRACTION PHASES OF ECONOMIC CYCLE: An Empirical Evidence from Indonesian Stock Market

2013 ◽  
Vol 4 (3) ◽  
pp. 361
Author(s):  
Marwan Asri
Keyword(s):  
Statistical Analysis ◽  
Stock Market ◽  
Size Effect ◽  
Empirical Evidence ◽  
Small Firms ◽  
Large Firms ◽  
Economic Cycle ◽  
Stock Behavior ◽  
Better Than

Banz (1981) and Reiganum (1981) claim that, in terms of returncreation, small firms tend to perform better than large firms. They implicitly claim that the phenomena (which is known as size effect) is stable and exists over the period of examination. This study intends to investigate the existence of size effect in Indonesian market and more specifically, to test whether stages of economic cycle (expansion and contraction stages) determine the existence of the effect. The results of the study show that size effect does exist in the market for the whole period of observation (1991-2001). However, when the period is divided into two parts according to the stage of economic cycle, the  statistical analysis results are not supportive to the conclusion about the size effect.

Markowitz efficiency and size effect: evidence from the UK stock market

2013 ◽  
Vol 43 (4) ◽  
pp. 721-750 ◽  
Author(s):  
Tienyu Hwang ◽  
Simon Gao ◽  
Heather Owen
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
The Uk

scholarly journals Individual Analysts Earnings Forecasts: Evidence For Overreaction In The UK Stock Market

2011 ◽  
Vol 3 (9) ◽  
Author(s):  
Dimitris F. Kenourgios ◽  
Nikolaos Pavlidis
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Empirical Research ◽  
Firm Size ◽  
Earnings Forecasts ◽  
Growth Opportunities ◽  
Investment Bank ◽  
Price Earnings Ratio ◽  
Overreaction Hypothesis ◽  
The Uk

This paper presents an analysis of two forms of overreaction (generalized overreaction and overreaction to prior earnings changes) in analysts earnings forecasts for the UK stock market, using a sample of individual forecasts of earning per share from a British investment bank over the period 1989-2002. Given that previous UK empirical research over 1980s and mid 90s has provided limited and contradictory findings, we investigate whether and how overreaction of analysts forecasts varies across forecast horizons, firm size (small and large) and growth opportunities (high and low P/E ratio) in order to provide further and comparable evidence. Overall, our findings support the generalized overreaction hypothesis but reject the firm size effect, the overreaction for high P/E ratio companies and the higher overreaction regarding the forecasting horizon. Keywords: Overreaction, Underreaction, Analysts forecasts, forecast horizons, size effect, price/earnings ratio.

scholarly journals Value and Size Effects in the Stock Market of the Philippines

2018 ◽  
Vol 9 (2) ◽  
pp. 191
Author(s):  
Gerardo “Gerry” Alfonso Perez
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Capital Market ◽  
The Philippines ◽  
Asian Countries ◽  
Volatility Clustering ◽  
A Value ◽  
Growth Stocks ◽  
Value Effect ◽  
Entire Dataset

Several market abnormalities, such as the small size effect or the value effect, have been found in the stock markets across the world. In this article it is analyzed the case of the stock market of the Philippines. The Philippines, while having a relatively large economy and a capital market with long history, has attracted less research than other Asian countries, such as China or Japan. This is perhaps due to the much larger size of the economies and capital markets of those countries. Nevertheless the stock market of the Philippines is important enough to warrant attention. It will be shown that in recent years there is no indication of a value effect or a small size effect in the stock market of the Philippines, which is surprising given the amount of articles finding such results in other countries. The results were consistent when using the entire dataset as well as when comparing each year individually. It was also found, using weekly returns, that value and growth stocks as well as small and large companies present volatility clustering, which is a result more consistent with the existing literature in other markets. There are less evidence of volatility clustering when using monthly returns rather than when using weekly returns.

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