The firm size effect on stock returns in a developing stock market

1989 ◽  
Vol 30 (1) ◽  
pp. 61-65 ◽  
Author(s):  
Kie Ann Wong
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Stock Returns ◽  
Firm Size ◽  
Firm Size Effect

Index Revision and Firm Size Effect

2006 ◽  
Author(s):  
Munmun Mohanty ◽  
B. Mishra
Keyword(s):  
Size Effect ◽  
Firm Size ◽  
Firm Size Effect

New Evidence on the Role of Size Effect in Determining the Pricing of Risk, Volatility Dynamics, and Economic Exposure of Firm Returns

2020 ◽  
Vol 9 (3) ◽  
pp. 1-25
Author(s):  
Faisal Khan ◽  
Sharif Ullah Jan
Keyword(s):  
Size Effect ◽  
Stock Returns ◽  
Firm Size ◽  
Research Study ◽  
Leverage Effect ◽  
Conditional Heteroskedasticity ◽  
Economic Factors ◽  
Monthly Data ◽  
New Evidence

This research study analyses the role of size effect in detecting the pricing of risk, various volatility dynamics, and economic exposure of firm returns on the Pakistani stock market by employing monthly data for the period from 1998 to 2018. Three generalized autoregressive conditional heteroskedasticity models were applied: GARCH(1,1) for capturing different volatility dynamics, GARCH-M for pricing of risk, and EGARCH for asymmetric and leverage effect. The findings of the study are as follows: Firstly, the authors untie that pricing of risk is subject to considerable variations with respect to firm size. Secondly, in the process of detecting whether the firm size matters in the case of asymmetry and leverage effect, they find that it is indeed the case. Thirdly, size effect plays a substantial role in determining various volatility dynamics. Finally, they uncover that economic factors affect stock returns differently based on firm size, signifying the role of size effect.

The Firm Size Effect and the Economic Cycle

2002 ◽  
Vol 25 (1) ◽  
pp. 111-124 ◽  
Author(s):  
Moon K. Kim ◽  
David A. Burnie
Keyword(s):  
Size Effect ◽  
Firm Size ◽  
Economic Cycle ◽  
Firm Size Effect
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