Chaibi, Anissa; Alioui, Sabrina; Xiao, Bing - Institut de Préparation à l'Administration et à la … - 2014
According to the size effect, small cap securities generally generate greater returns than those of large cap securities. Recent studies have however suggested that for certain periods, size cannot be considered as a relevant explanatory variable, and therefore as an anomaly. Our study, based on...