Evaluation of the Company Size Effect on Latin American Stock Markets
Main Article Content
Keywords
Latin American markets, Size effect, CAPM
Abstract
This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.
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References
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Amado, C. (2009). Análisis de la relación entre el comportamiento de la acción y el tamaño de las empresas. Evidencia empírica en Colombia. Bogotá:. Universidad Nacional de Colombia.
Amel-Zadeh, A. (2008). The return of the size anomaly: Evidence from the German Stock Market.. University of Cambridge, Judge Business School Working Paper.
Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 31-56.
Baetge, J.; Kirsch, H.; Koelen, P. y Schulz, R. (2010). On the Myth of Size Premiums in Corporate Valuation: Some Empirical Evidence from the German Stock Market. Journal of Applied Research in Accounting and Finance, 2-15.
Banz, R. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 3-18.
Chague, F. (2007). The CAPM and Fama-French Models in Brazil: A Comparative Study. Sao Paulo, Brasil: Escola de Economia de Sao Paulo.
Chan, K.; Chen, N. y Hsieh, D. (1985). An Exploratory Investigation of the Firm Size effect. Journal of Financial Economics, 451-71.
Cohen, R. (2005). Roles del tamaño y del beta en la explicación de los retornos promedio en el mercado accionario Argentino. UCEMA.
Dimson, E. y Marsh, P. (2001). UK Financial Market Returns 1955-2000. Journal of Business, 1-31.
Fama, E. F. y French, K. R. (1992). The Cross-Section of Expected Stock. Journal of Finance, 427-65.
Fama, E. F. y French, K. R. (1995). Size and Book-to-Market Factors in Earnings and Returns. Journal of Finance, 50(1).
Fama, E. F. y French, K. R. (2007). Migration. Financial Analysts Journal, 48-58.
Gómez, J. y Marhuenda, J. (1998). La anomalía del tamaño en el mercado de capitales español. Revista Española de Financiación y Contabilidad, 1033-059.
Hamard, A. y Mascareñas, J. (2010). Prima de riesgo por tamaño en el mercado continuo español. Análisis Financiero, 34-40.
Horowitz, J.; Loughran, T. y Savin, N. (2000). The disappearing size effect. Research in Economics, 83-100.
Ibbotson, R. (2005). SBBI Valuation Edition 2005 Yearbook . Ibbotson & Associates, 127-58.
Keim, D. B. (1983). Related anomalies and stock return seasonality: Further. Journal of Financial Economics, 13-32.
Lucas, R. E. (1978). Asset Pricing in an Exchange Economy. Econometrica, 46, 1429-445.
Reinganum, M. (1981). Misspecification of capital asset pricing: Empirical anomalies based on earnings’ yields and market values. Journal of Financial Economics, 19-46.
Roll, R. (1981). A possible explanation of the Small Firm Effect. Journal of Finance, 879-88.
Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-60.
Rubio, F. (1997). Corte transversal de los retornos esperados en el mercado accionario chileno. Valparaíso, Chile: Universidad de Valparaíso.
Rubio, G. (1988). Further International Evidence on Asset Pricing: The Case of the Spanish Capital Market. Journal of Banking and Finance, 221-42.
Amado, C. (2009). Análisis de la relación entre el comportamiento de la acción y el tamaño de las empresas. Evidencia empírica en Colombia. Bogotá:. Universidad Nacional de Colombia.
Amel-Zadeh, A. (2008). The return of the size anomaly: Evidence from the German Stock Market.. University of Cambridge, Judge Business School Working Paper.
Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 31-56.
Baetge, J.; Kirsch, H.; Koelen, P. y Schulz, R. (2010). On the Myth of Size Premiums in Corporate Valuation: Some Empirical Evidence from the German Stock Market. Journal of Applied Research in Accounting and Finance, 2-15.
Banz, R. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 3-18.
Chague, F. (2007). The CAPM and Fama-French Models in Brazil: A Comparative Study. Sao Paulo, Brasil: Escola de Economia de Sao Paulo.
Chan, K.; Chen, N. y Hsieh, D. (1985). An Exploratory Investigation of the Firm Size effect. Journal of Financial Economics, 451-71.
Cohen, R. (2005). Roles del tamaño y del beta en la explicación de los retornos promedio en el mercado accionario Argentino. UCEMA.
Dimson, E. y Marsh, P. (2001). UK Financial Market Returns 1955-2000. Journal of Business, 1-31.
Fama, E. F. y French, K. R. (1992). The Cross-Section of Expected Stock. Journal of Finance, 427-65.
Fama, E. F. y French, K. R. (1995). Size and Book-to-Market Factors in Earnings and Returns. Journal of Finance, 50(1).
Fama, E. F. y French, K. R. (2007). Migration. Financial Analysts Journal, 48-58.
Gómez, J. y Marhuenda, J. (1998). La anomalía del tamaño en el mercado de capitales español. Revista Española de Financiación y Contabilidad, 1033-059.
Hamard, A. y Mascareñas, J. (2010). Prima de riesgo por tamaño en el mercado continuo español. Análisis Financiero, 34-40.
Horowitz, J.; Loughran, T. y Savin, N. (2000). The disappearing size effect. Research in Economics, 83-100.
Ibbotson, R. (2005). SBBI Valuation Edition 2005 Yearbook . Ibbotson & Associates, 127-58.
Keim, D. B. (1983). Related anomalies and stock return seasonality: Further. Journal of Financial Economics, 13-32.
Lucas, R. E. (1978). Asset Pricing in an Exchange Economy. Econometrica, 46, 1429-445.
Reinganum, M. (1981). Misspecification of capital asset pricing: Empirical anomalies based on earnings’ yields and market values. Journal of Financial Economics, 19-46.
Roll, R. (1981). A possible explanation of the Small Firm Effect. Journal of Finance, 879-88.
Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-60.
Rubio, F. (1997). Corte transversal de los retornos esperados en el mercado accionario chileno. Valparaíso, Chile: Universidad de Valparaíso.
Rubio, G. (1988). Further International Evidence on Asset Pricing: The Case of the Spanish Capital Market. Journal of Banking and Finance, 221-42.
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Published
Nov 29, 2013
Article Details
How to Cite
Duarte Duarte, J. B., Ramírez León, Z. Y., & Sierra Suárez, K. J. (2013). Evaluation of the Company Size Effect on Latin American Stock Markets. Ecos De Economía, 17(37), 5–28. https://doi.org/10.17230/ecos.2013.37.1
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