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Is Small Beautiful? Size Effect in Stock Markets

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Country Asset Allocation

Abstract

The small-cap effect is the tendency of small companies to beat large companies in the stock market. The authors present a comprehensive review of the theoretical background and empirical evidence, explaining the size premium by delisting bias, trading costs, information risk, liquidity risk and data mining.

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Authors and Affiliations

  1. Poznan University of Economics and Business, Poznan, Poland

    Adam Zaremba

  2. AlphaBeta, Tel Aviv, Israel

    Jacob Shemer

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  1. Adam Zaremba
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  2. Jacob Shemer
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Zaremba, A., Shemer, J. (2017). Is Small Beautiful? Size Effect in Stock Markets. In: Country Asset Allocation. Palgrave Macmillan, New York. https://doi.org/10.1057/978-1-137-59191-3_4

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  • DOI: https://doi.org/10.1057/978-1-137-59191-3_4

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  • Print ISBN: 978-1-137-59190-6

  • Online ISBN: 978-1-137-59191-3

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