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| Author: | Andrikopoulos, P. (et al.) |
| Title: | Size effect, methodological issues and 'risk-to-default': Evidence from the UK stock market |
| Journal: | European Journal of Finance
2008 : APR/JUN, VOL. 14:3-4, p. 299-314 |
| Index terms: | stock markets equities market efficiency methodology United Kingdom |
| Language: | eng |
| Abstract: | Using a new survivorship bias-free database of the U.K. market covering stocks officially listed in the U.K., this paper re-examines the small firm premium (hereafter as: s-f-p.) from Dec. 1987 to Dec. 2004. The results show a continuation of the s-f-p. in the U.K. from 1988 to 2004 in excess of 7 percent per annum. It is concluded that the reversal of the s-f-p. documented by Dimson and Marsh ("Murphy's law and market anomalies" in Journal of Portfolio Management, 1999, vol. 25:2, p. 53-69) is dependent on the data sample and used methodology. The main contribution to the 7 percent + geometric annual premium reported here comes mainly during the years 1993 and 1999. Moreover, exploitation of the s-f-p. is dependent on the strategy used and particularly on the length of the holding period before rolling over the strategy. |
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