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Does the Size Effect Explain the UK Winner‐Loser Effect?

Does the Size Effect Explain the UK Winner‐Loser Effect? Dissanaike (1997) found a long‐term winner‐loser effect in the UK, within a sample of large (FT500) companies. However, he did not investigate as to whether there was a size effect within his sample, nor did he check to see if it subsumed his winner‐loser effect. We find evidence of a size effect within the FT500 sample, and the size and winner‐loser effects are not unrelated. But, there is no evidence to suggest that the size effect subsumes the winner‐loser effect. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Business Finance & Accounting Wiley

Does the Size Effect Explain the UK Winner‐Loser Effect?

Journal of Business Finance & Accounting , Volume 29 (1‐2) – Jan 1, 2002

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References (15)

Publisher
Wiley
Copyright
Copyright © 2002 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0306-686X
eISSN
1468-5957
DOI
10.1111/1468-5957.00427
Publisher site
See Article on Publisher Site

Abstract

Dissanaike (1997) found a long‐term winner‐loser effect in the UK, within a sample of large (FT500) companies. However, he did not investigate as to whether there was a size effect within his sample, nor did he check to see if it subsumed his winner‐loser effect. We find evidence of a size effect within the FT500 sample, and the size and winner‐loser effects are not unrelated. But, there is no evidence to suggest that the size effect subsumes the winner‐loser effect.

Journal

Journal of Business Finance & AccountingWiley

Published: Jan 1, 2002

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