The size anomaly on the Taiwan Stock Exchange

Applied Economics Letters

Volumn 4, Issue 1, 1997, Pages 7-12

  Huang, Yen Sheng ^a  

^a NATIONAL TAIWAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1842488486     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/758521823     Document Type: Article

References (10)

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2. Chou, S. R. and Johnson, K. H. (1990) An empirical analysis of stock market anomalies: Evidence from the Republic of China in Taiwan, in Pacific-Basin Capital Markets Research (ed.) S. G. Rhee and R. Chang, North-Holland, pp. 283-312.
3. Dimson, E. (1979) Risk measurement when shares are subject to infrequent trading, Journal of Financial Economics, 7, 197-222.
4. Fama E. F. and French K. R. (1992) The cross-section of expected returns, Journal of Finance, 47, 427-65.
5. Keim, D. B. (1983) Size-related anomalies and stock return seasonality: further empirical evidence, Journal of Financial Economics, 12, 13-32.
6. Lee, C. W. (1988) The stock price behavior and the size effect: An empirical investigation of the Taiwan stock market, unpublished PhD dissertation, National Chengchi University (Taipei, Taiwan, ROC).
7. Ma, T. and Shaw, T. Y. (1990) The relationships between market value, P/E ratio, trading volume and the stock return of Taiwan Stock Exchange, in Pacific-Basin Capital Markets Research (ed.) S. G. Rhee and R. Chang, North-Holland, pp. 313-35.
8. Reinganum, M. R. (1981) Misspecification of capital asset pricing: Empirical anomalies based on earnings' yields and market values, Journal of Financial Economics, 9, 19-46.
9. Scholes M. and Williams, J. (1977), Estimating betas from nonsynchronous data, Journal of Financial Economics, 5, 309-27.
10. Schwert, G. W. (1983) Size and stock return, and other empirical regularities, Journal of Financial Economics, 12, 3-12.