Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

Small Firm Effect in Stock Markets: An Assessment of the Chinese Listed Firm

Authors
Tianxin Zhang1, *
1Anglia Ruskin University, Cambridge, UK
*Corresponding author. Email: 1803666945@qq.com
Corresponding Author
Tianxin Zhang
Available Online 26 March 2022.
DOI
10.2991/aebmr.k.220307.281How to use a DOI?
Keywords
Size effect; size premium; Chinese firms; risk factors; returns; Asset Pricing Models
Abstract

The small firm effect has been a topic of debate amongst the investors and behavioral finance theorists alike, whereby it is hypothesized that the firms with smaller market capitalization rates tend to outperform their larger counterparts. This paper will empirically investigate the relationship between stock returns and the size of shares outstanding and total market capitalization for listed companies in the Chinese market from 2010 to 2019. A panel regression analysis was conducted on the collected data with the market capitalization variable as the dependent variable and monthly returns generated by the company stock as the independent variable. The data for the variables were acquired from the Win.d database and the analysis was performed using STATA analysis software. The analysis revealed that there was a positive relationship between the market capitalization and the monthly returns generated, which negates the presence of a small firm effect in the selected sample. Overall, the study finds that stock returns of Chinese companies are negatively related to company size.

Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
26 March 2022
ISBN
10.2991/aebmr.k.220307.281
ISSN
2352-5428
DOI
10.2991/aebmr.k.220307.281How to use a DOI?
Copyright
© 2022 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Tianxin Zhang
PY  - 2022
DA  - 2022/03/26
TI  - Small Firm Effect in Stock Markets: An Assessment of the Chinese Listed Firm
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 1724
EP  - 1727
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.281
DO  - 10.2991/aebmr.k.220307.281
ID  - Zhang2022
ER  -