Small firm effect: Evidence from Korean stock exchange

Stephen Y L Cheung; Yiu Ming Leung; Kwok Fai Wong

doi:10.1007/BF01065140

Small firm effect: Evidence from Korean stock exchange

Stephen Y L Cheung^*, Yiu Ming Leung, Kwok Fai Wong

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › peer-review

1 Citation (Scopus)

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.

Original language	English
Pages (from-to)	373-379
Number of pages	7
Journal	Small Business Economics
Volume	6
Issue number	5
DOIs	https://doi.org/10.1007/BF01065140
Publication status	Published - Oct 1994

Scopus Subject Areas

Business, Management and Accounting(all)
Economics and Econometrics

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title = "Small firm effect: Evidence from Korean stock exchange",

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.",

author = "Cheung, {Stephen Y L} and Leung, {Yiu Ming} and Wong, {Kwok Fai}",

year = "1994",

month = oct,

doi = "10.1007/BF01065140",

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volume = "6",

pages = "373--379",

journal = "Small Business Economics",

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T2 - Evidence from Korean stock exchange

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AU - Leung, Yiu Ming

AU - Wong, Kwok Fai

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N2 - 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.

AB - 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.

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DO - 10.1007/BF01065140

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VL - 6

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JO - Small Business Economics

JF - Small Business Economics

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ER -

Small firm effect: Evidence from Korean stock exchange

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