Estudio del efecto tamaño en el mercado bursátil colombiano

Juan Benjamín Duarte Duarte, Zulay Yesenia Ramírez León y Juan Manuel Mascareñas Pérez-Iñigo

In this paper we analyze the historical returns of the companies listed on the Colombian stock exchange, from January 2004 until June 2012, in order to determine the possible presence of a risk premium in smaller companies relative to larger ones. This premium is known as Size Effect and it has been found that it is significant after adjusting of risk by Capital Asset Pricing Model. The results obtained in this work for the stock market in Colombia do not show the presence of an additional risk premium due to the size of enterprises, rejecting both size effect and reverse size effect.

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Alternative title:	Study of the size effect in the stock market of Colombia
Year of publication:	October 2013
Authors:	Duarte Duarte, Juan Benjamín ; Ramírez León, Zulay Yesenia ; Mascareñas Pérez-Íñigo, Juan
Published in:	Journal of economics, finance & administrative science. - Bingley : Emerald Publishing Limited, ISSN 2218-0648, ZDB-ID 2538461-2. - Vol. 18.2013, supplement, p. 23-27
Subject:	Size Effect \| Capital Asset Pricing Model \| Capital Market Anomaly

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	Spanish
Notes:	Zusammenfassung in englischer Sprache
Other identifiers:	10.1016/S2077-1886(13)70027-1 [DOI] hdl:10419/179742 [Handle]
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

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