Size matters everywhere: Decomposing the small country and small industry premia
(2017)
Journal Article
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
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 implicati... Read More about Size matters everywhere: Decomposing the small country and small industry premia.