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The size effect in the Mexican stock market


  • Herrera, Martin J.
  • Lockwood, Larry J.


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  • 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.
  • Handle: RePEc:eee:jbfina:v:18:y:1994:i:4:p:621-632

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    References listed on IDEAS

    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    2. Campbell, John Y. & Shiller, Robert J., 1988. "Interpreting cointegrated models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 505-522.
    3. Bradley, Michael G. & Lumpkin, Stephen A., 1992. "The Treasury Yield Curve as a Cointegrated System," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 449-463, September.
    4. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    6. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    7. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    8. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-212, August.
    9. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-277, August.
    10. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    11. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    12. Nelson, Charles R, 1972. "The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy," American Economic Review, American Economic Association, vol. 62(5), pages 902-917, December.
    13. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
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    Cited by:

    1. Robert Rutledge & Zhaohui Zhang & Khondkar Karim, 2008. "Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(2), pages 117-133, June.
    2. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
    3. Steven L. Heston & K. Geert Rouwenhorst & Roberto E. Wessels, 1999. "The Role of Beta and Size in the Cross-Section of European Stock Returns," European Financial Management, European Financial Management Association, vol. 5(1), pages 9-27.
    4. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
    5. Hensler, Douglas A. & Herrera, Martin J. & Lockwood, Larry J., 2000. "The performance of initial public offerings in the Mexican stock market, 1987-1993," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 93-116, February.
    6. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 7-97, Wharton School Rodney L. White Center for Financial Research.
    7. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
    8. Adam Zaremba & Rados³aw ¯mudziñski, 2014. "The Low Price Effect On The Polish Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 10(1), pages 69-85, June.
    9. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, November.
    10. Kie Wong & Ruth Tan & Wei Liu, 2006. "The Cross-Section of Stock Returns on The Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 26(1), pages 23-39, February.
    11. Terrance Grieb & Mario G. Reyes, 1999. "Random Walk Tests For Latin American Equity Indexes And Individual Firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 371-383, December.
    12. Keith Lam & Frank Li & Simon So, 2010. "On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(1), pages 89-111, July.
    13. Pereiro, Luis E., 2006. "The practice of investment valuation in emerging markets: Evidence from Argentina," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 160-183, April.
    14. Ikram ul Haq & Kashif Rashid, 2014. "Stock Market Efficiency and Size of the Firm: Empirical Evidence from Pakistan," Oeconomics of Knowledge, Saphira Publishing House, vol. 6(1), pages 10-31, March.
    15. repec:fau:fauart:v:65:y:2015:i:1:p:84-104 is not listed on IDEAS

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