116
Views
7
CrossRef citations to date
0
Altmetric
Original Articles

The size anomaly on the Taiwan Stock Exchange

Pages 7-12 | Received 22 Feb 1996, Published online: 02 Nov 2006

References

  • Banz , R. W. 1981 . The relationship between return and market value of common stocks . Journal of Financial Economics , 9 : 3 – 18 .
  • 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 , Edited by: Rhee , S. G. and Chang , R. 283 – 312 . North-Holland .
  • Dimson , E. 1979 . Risk measurement when shares are subject to infrequent trading . Journal of Financial Economics , 7 : 197 – 222 .
  • Fama , E. F. and French , K. R. 1992 . The cross-section of expected returns . Journal of Finance , 47 : 427 – 65 .
  • Keim , D. B. 1983 . Size-related anomalies and stock return seasonality: further empirical evidence . Journal of Financial Economics , 12 : 13 – 32 .
  • Lee, C. W. (1988) The stock price behavior and the size effect: An empirical investigation of the Taiwan stock market, unpublished PhD dissertation, National Chengchi University (Taipei, Taiwan, ROC).
  • 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 , Edited by: Rhee , S. G. and Chang , R. 313 – 35 . North-Holland .
  • 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 .
  • Scholes , M. and Williams , J. 1977 . Estimating betas from nonsynchronous data . Journal of Financial Economics , 5 : 309 – 27 .
  • Schwert , G. W. 1983 . Size and stock return, and other empirical regularities . Journal of Financial Economics , 12 : 3 – 12 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.