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Small Firm Effect: Evidence from Korean Stock Exchange

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  • Cheung, Yan-Leung
  • Leung, Yiu-Ming
  • Wong, Kwok-Fai

Abstract

The objective of the paper is to examine the small firm and earnings' yield effects on the Korean stock returns during 1982-1988. We find that smaller (or high E/P ratio) firms obtain higher risk-adjusted returns, on average, than larger (or low E/P ratio) firms. We also document that the existence of January effect in Korean stock returns. Unlike the findings for the US market, stock returns of small and as well as large Korean firms are found to be 2 or 3 times higher in January than the other months. However, the well known tax-loss-selling hypothesis can not be used to explained these anomalies because there are no capital tax or loss offsets in Korea. Copyright 1994 by Kluwer Academic Publishers

Suggested Citation

  • Cheung, Yan-Leung & Leung, Yiu-Ming & Wong, Kwok-Fai, 1994. "Small Firm Effect: Evidence from Korean Stock Exchange," Small Business Economics, Springer, vol. 6(5), pages 373-379, October.
    • Handle: RePEc:kap:sbusec:v:6:y:1994:i:5:p:373-79
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    Cited by:

    1. Ziang Zhou, 2023. "Research on Small-Cap Value Rotation Investment Strategy Based on "Size Effect" - Evidence from the Chinese Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(6), pages 1-5.
    2. Gerardo ¡°Gerry¡± Alfonso Perez, 2017. "Company Size Effect in the Stock Market of Thailand," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(3), pages 105-110, July.

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