The purpose of this paper is to compare recent performance of small firms with that of large firms in developed and emerging stock markets.
T‐tests as well as Wilcoxon Signed Rank test statistics are utilized to test the differences in returns between stock indices. Additionally, ANOVA and median test statistics were conducted to test differences in size premiums over years. Finally, t‐tests as well as Mann‐Whitney U test statistics were conducted to examine the differences in size premiums by market conditions and January over non‐January months.
It was found that small firms did not generate significantly different returns than large firms in recent years. More specifically, size premiums were not sensitive to market conditions and were not significantly higher in January over non‐January months. These results indicate stock markets no longer exhibit a size effect or a reverse size effect.
The paper contributes to the finance literature by examining the size effect as well as the reverse size effect in developed and emerging stock markets on recent data.
