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Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 15 (2008)
Issue (Month): 2 (June)
Pages: 117-133
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:apfinm:v:15:y:2008:i:2:p:117-133

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Related research

Keywords: Size effect; Stock pricing behavior; Return premium; Excess stock returns; Developing markets;

References listed on IDEAS
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1. Ozenbas, Deniz & Schwartz, Robert A & Wood, Robert A, 2002. "Volatility in US and European Equity Markets: An Assessment of Market Quality," International Finance, Blackwell Publishing, vol. 5(3), pages 437-61, Winter. [Downloadable!] (restricted)
2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
3. Eugene F. Fama & Kenneth R. French, 2006. "The Value Premium and the CAPM," Journal of Finance, American Finance Association, vol. 61(5), pages 2163-2185, October. [Downloadable!] (restricted)
4. Stoll, Hans R. & Whaley, Robert E., 1983. "Transaction costs and the small firm effect," Journal of Financial Economics, Elsevier, vol. 12(1), pages 57-79, June. [Downloadable!] (restricted)
5. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March. [Downloadable!] (restricted)
6. Samer A. M. Al-Rjoub & Oscar Varela & M. Kabir Hassan, 2005. "The size effect reversal in the USA," Applied Financial Economics, Taylor and Francis Journals, vol. 15(17), pages 1189-1197, November. [Downloadable!] (restricted)
7. George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 13(6), pages 413-426, January. [Downloadable!] (restricted)
8. William Schwert, G., 2002. "Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 3-26, January. [Downloadable!] (restricted)
   Other versions:
   • G. William Schwert, 2001. "Stock Volatility in the New Millennium: How Wacky Is Nasdaq?," NBER Working Papers 8436, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
9. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March. [Downloadable!] (restricted)
10. Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 598-619, September. [Downloadable!] (restricted)
11. Chan, K C & Chen, Nai-Fu, 1991. " Structural and Return Characteristics of Small and Large Firms," Journal of Finance, American Finance Association, vol. 46(4), pages 1467-84, September. [Downloadable!] (restricted)
12. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March. [Downloadable!]
13. Chang, Eric C. & McQueen, Grant R. & Pinegar, J. Michael, 1999. "Cross-autocorrelation in Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 471-493, December. [Downloadable!] (restricted)
14. Daniel Choi & Xin Zhao, 2007. "Cross-autocorrelation in the New Zealand stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 17(3), pages 215-219. [Downloadable!] (restricted)
15. Herrera, Martin J. & Lockwood, Larry J., 1994. "The size effect in the Mexican stock market," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 621-632, September. [Downloadable!] (restricted)
16. George, Thomas J. & Hwang, Chuan-Yang, 1995. "Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(02), pages 313-327, June. [Downloadable!]
17. Bing-Huei Lin & Jerry M. C. Wang, 2003. "Systematic skewness in asset pricing: an empirical examination of the Taiwan stock market," Applied Economics, Taylor and Francis Journals, vol. 35(17), pages 1877-1887, November. [Downloadable!] (restricted)

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