The size anomaly on the Taiwan Stock Exchange

Abstract

This paper examines the size anomaly on the Taiwan Stock Exchange over the period 1971–93. Using a sample of all listed stocks, this research finds that the smallest size quintile earns a significantly higher abnormal return than other four size portfolios over the whole sample period. Moreover, the size anomaly cannot be attributed to the January effect. The smallest size quintile performs better than the average of the other four size quintiles in almost every month.