Purpose – This study uses stochastic dominance (SD) theory to examine whether the traditional festival, such as the Spring Festival (often in February), affects the patterns of monthly anomaly for the Taiwan Stock Exchange (TWSE). The paper aims to discuss these issues....

This study uses the stochastic dominance theory, which is distribution-free, to examine the relationship between realised returns and firm size for companies listed on the Taiwan Stock Exchange between 1982 and 1999. The findings show that small-cap and large-cap portfolios outperform both...