Small firm effect: Evidence from Korean stock exchange

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

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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. Copyright © 1994.Kluwer Academic Publishers.

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

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Stock exchange
Small firms
Firm effects
Stock returns
P/E ratio
Capital tax
Tax-loss selling
January effect
Anomaly
Stock market returns
Korea
Risk-adjusted returns

Bibliographical note

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.

Keywords

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