Small Firm Effect in Stock Markets: An Assessment of the Chinese Listed Firm
- 10.2991/aebmr.k.220307.281How to use a DOI?
- Size effect; size premium; Chinese firms; risk factors; returns; Asset Pricing Models
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.
- © 2022 The Authors. Published by Atlantis Press International B.V.
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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 -