Small firm effect: Evidence from Korean stock exchange

Yan Leung Stephen CHEUNG, Yiu Ming LEUNG, Kwok Fai Kenneth WONG

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1 Citation (Scopus)


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. Copyright © 1994.Kluwer Academic Publishers.

Original languageEnglish
Pages (from-to)373-379
JournalSmall Business Economics
Issue number5
Publication statusPublished - Oct 1994


Cheung, Y.-L., Leung, Y.-M., Wong, K.-F. (1994). Small firm effect: Evidence from Korean stock exchange. Small Business Economics, 6(5), 373-379.


  • Stock return
  • Small firm
  • Stock exchange
  • Industrial organization
  • Yield effect


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