Size matters everywhere: Decomposing the small country and small industry premia
Adam Zaremba , Mehmet Umutlu
AbstractWe 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.
|Journal series||North American Journal of Economics and Finance, ISSN 1062-9408, (A 30 pkt)|
|Publication size in sheets||0.85|
|Keywords in English||Country size effect, Industry size effect, Small country premium, Size premium, Asset pricing, International investment, Return predictability, Decomposition|
|Score||= 30.0, 27-03-2020, ArticleFromJournal|
|Publication indicators||= 1; : 2018 = 0.914; : 2017 = 1.098 (2) - 2017=1.194 (5)|
|Citation count*||11 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.