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The economic significance of trading based on the size effect in Australia

Bettman, Jenni; Ng, Wen Sern (Kelvin); Sault, Stephen

Description

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]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/37809
Source: Australian Journal of Management
DOI: 10.1177/0312896210388860

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