Bettman, Jenni; Ng, Wen Sern (Kelvin); Sault, Stephen
It is generally accepted within the extant literature that a size effect exists, whereby smaller firms tend to experience higher rates of return than those of large firms. This small size effect is identified in a number of studies over a variety of equity markets. Despite this, however, no study to date considers the dollar profits attainable by executing a trading strategy that constructs a portfolio based on stocks within the lowest market capitalization decile. Specifically, this paper...[Show more]
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