Size matters everywhere: Decomposing the small country and small industry premia
Zaremba, Adam; Umutlu, Mehmet
We explore the country and industry size effects by decomposing market value into four components: short-term return, representing momentum; long-run return, representing reversal; composite issuance; and lagged market value. We examine the implications of this decomposition for the country and industry size premia within a sample of 51 equity markets for the years 1973–2017. We confirm a significant size effect across countries and uncover an industry size effect: small industries markedly outperform large industries. While the cross-sectional dispersion in market value is determined almost exclusively by the lagged market value component, the country and industry size premia have two prmary drivers: lagged market value and long-run reversal. Our analysis also discovers an industry issuance effect and a remarkable January effect inboth country and industry returns. Finally we also shed some light on the vanishing small country effect in the last decade.
Zaremba, A., & Umutlu, M. (2018). Size matters everywhere: Decomposing the small country and small industry premia. North American Journal of Economics and Finance, 43, 1-18. https://doi.org/10.1016/j.najef.2017.09.002
|Journal Article Type||Article|
|Acceptance Date||Sep 10, 2017|
|Online Publication Date||Nov 22, 2017|
|Deposit Date||Jan 29, 2023|
|Journal||The North American Journal of Economics and Finance|
|Peer Reviewed||Peer Reviewed|
|Keywords||Country size effect, Industry size effect, Small country premium, Size premium, Asset pricing, International investment, Return predictability, Decomposition|
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