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 journalArticlepeer-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 languageEnglish
Pages (from-to)373-379
Number of pages7
JournalSmall Business Economics
Volume6
Issue number5
DOIs
Publication statusPublished - Oct 1994

Scopus Subject Areas

  • Business, Management and Accounting(all)
  • Economics and Econometrics

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