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Der Size-Effekt am Österreichischen Aktienmarkt

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  • Wolfgang Aussenegg

    (Technische Universität Wien)

  • Andreas Grünbichler

    (Universität St. Gallen)

Abstract

Summary The observation that stocks with a small market capitalization have risk-adjusted returns above stocks with high market capitalization is well documented far the US and other big stock markets. The aim and contribution of this paper is to investigate, for the first time comprehensively, whether there are similar size-related regularities for stocks listed on the small Vienna Stock Exchange. In contrast to other studies we are concentrating our analysis on the relations hip between size effects and the aftermarket performance of Initial Public Offerings OPOs). The performance differences between stocks with a small and those with a high market capitalization can be explained by the long-run performance of particular groups of IPOs and a negative liquidity effect.

Suggested Citation

  • Wolfgang Aussenegg & Andreas Grünbichler, 1999. "Der Size-Effekt am Österreichischen Aktienmarkt," Schmalenbach Journal of Business Research, Springer, vol. 51(7), pages 636-661, July.
    • Handle: RePEc:spr:sjobre:v:51:y:1999:i:7:d:10.1007_bf03371587
    DOI: 10.1007/BF03371587
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