Small firm effect: Evidence from Korean stock exchange
Author(s)
Author(s)
Leung, Y.-M.
Wong, K.-F.
Date Issued
1994
Publisher
Springer
Journal
Small Business Economics
Volume
6
Issue
5
Start page
373
End page
379
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.
SFU Affiliated Publication
No
Availability at SFU Library
No database links found.