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

Adam Zaremba , Mehmet Umutlu


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
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
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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