Size matters everywhere: Decomposing the small country and small industry premia

Adam Zaremba , Mehmet Umutlu

Abstract

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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Mehmet Umutlu - Yasar University, Turkey
Mehmet Umutlu,,
-
Journal seriesNorth American Journal of Economics and Finance, ISSN 1062-9408, (A 30 pkt)
Issue year2018
Vol43
Pages1-18
Publication size in sheets0.85
Keywords in EnglishCountry size effect, Industry size effect, Small country premium, Size premium, Asset pricing, International investment, Return predictability, Decomposition
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1016/j.najef.2017.09.002
URL https://www.sciencedirect.com/science/article/pii/S1062940817301614
Languageen angielski
Score (nominal)30
Score sourcejournalList
ScoreMinisterial score = 30.0, 27-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.914; WoS Impact Factor: 2017 = 1.098 (2) - 2017=1.194 (5)
Citation count*11 (2020-09-10)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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