IDEAS home Printed from https://ideas.repec.org/p/ulb/ulbeco/2013-191448.html
   My bibliography  Save this paper

The smallest stocks are not just smaller: global evidence

Author

Listed:
  • Lieven de Moor
  • Piet Sercu

Abstract

Using an international Thomson Reuters Datastream database, where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset-pricing test results. We also show that, in data with wider coverage with respect to size, the Fama and French factor portfolios need to be adjusted and their number increased. Specifically, (i) standard asset-pricing models leave pricing errors for the 10% smallest stocks, and (ii) two additional risk factors (i.e. one micro-stock factor and one extreme book-to-market factor) are needed to capture this mispricing. This holds both in USA and international data. Further research is needed to measure the separate relevance of the possible economic interpretations and to identify more economic explanations for the additional risks associated with the smallest stocks.

Suggested Citation

  • Lieven de Moor & Piet Sercu, 2015. "The smallest stocks are not just smaller: global evidence," ULB Institutional Repository 2013/191448, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/191448
    Note: SCOPUS: ar.j
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stereńczak, Szymon & Zaremba, Adam & Umar, Zaghum, 2020. "Is there an illiquidity premium in frontier markets?," Emerging Markets Review, Elsevier, vol. 42(C).
    2. Ananjan Bhattacharyya & Abhijeet Chandra, 2016. "The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet?," Papers 1610.01338, arXiv.org.
    3. Zaremba, Adam & Karathanasopoulos, Andreas & Maydybura, Alina & Czapkiewicz, Anna & Bagheri, Noushin, 2020. "Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    4. Victoria Atanasov & Thomas Nitschka, 2013. "The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns," Tinbergen Institute Discussion Papers 13-180/IV/DSF66, Tinbergen Institute.
    5. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
    6. Zaremba, Adam & Okoń, Szymon & Asyngier, Roman & Schroeter, Lucia, 2019. "Reverse splits in international stock markets: Reconciling the evidence on long-term returns," Research in International Business and Finance, Elsevier, vol. 47(C), pages 552-562.
    7. Zaremba, Adam & Maydybura, Alina, 2019. "The cross-section of returns in frontier equity markets: Integrated or segmented pricing?," Emerging Markets Review, Elsevier, vol. 38(C), pages 219-238.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ulb:ulbeco:2013/191448. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Benoit Pauwels (email available below). General contact details of provider: https://edirc.repec.org/data/ecsulbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.