Size-Effect in Frontier African Stock Markets

2016 ◽  
Author(s):  
Frank Senyo Dewotor
Keyword(s):  
Size Effect ◽  
Stock Markets

scholarly journals Evaluación del efecto tamaño de empresa en los mercados bursátiles de América Latina

2013 ◽  
Vol 17 (37) ◽  
pp. 5-28
Author(s):  
Juan Benjamín Duarte Duarte ◽  
Zulay Yesenia Ramírez León ◽  
Katherine Julieth Sierra Suárez
Keyword(s):  
Latin America ◽  
Size Effect ◽  
Cross Section ◽  
Latin American ◽  
Stock Markets ◽  
The Cross ◽  
America Latina

This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.

Is Small Beautiful? Size Effect in Stock Markets

2016 ◽  
pp. 67-79 ◽  
Author(s):  
Adam Zaremba ◽  
Jacob Shemer
Keyword(s):  
Size Effect ◽  
Stock Markets

scholarly journals Idiosyncratic volatility as an explanation of the small firm effect: Australian evidence

2011 ◽  
Vol 8 (3) ◽  
pp. 280-289
Author(s):  
Michael Joseph Dempsey
Keyword(s):  
Size Effect ◽  
Small Firm ◽  
Firm Size ◽  
Stock Markets ◽  
Institutional Investor ◽  
Idiosyncratic Volatility ◽  
Relationship Of ◽  
The Relationship ◽  
Firm Effect

In the context of Australian stock markets, we examine how a company’s size and stock idiosyncratic volatility relate to return performance. The paper’s main conclusions may be summarized as follows. The stocks of the smallest firms markedly outperform the largest capitalized stocks, and for such small capitalized stocks, those with greater idiosyncratic volatility have markedly superior returns. It appears that the relationship of higher returns with higher idiosyncratic volatility is consistent with the mathematics of idiosyncratic volatility. In which case, the small size effect may also be interpreted as the mathematical outcome of idiosyncratic volatility. The paper further examines the condition on which the higher returns reported for either small firm size or high idiosyncratic volatility are likely to be wealth-forming. Finally, we observe that the high performances of the stocks of the smallest firms are likely irrelevant to the class of firms that are of interest to the institutional investor.

Probabilistic modelling of the size effect on ductility of a C-Mn steel

1998 ◽  
Vol 08 (PR8) ◽  
pp. Pr8-63-Pr8-70
Author(s):  
S. Carassou ◽  
M. Soilleux ◽  
B. Marini
Keyword(s):  
Size Effect ◽  
Probabilistic Modelling ◽  
Mn Steel
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