De Moor, Lieven; Sercu, Piet - Faculteit Economie en Bedrijfswetenschappen, … - 2011
Using a carefully screened and ltered international data base with a wide coverage across countries and size classes, this paper identies and documents a post-1980s size effect which is persistent, not picked up by a Fama-French-style SMB, and largely due to the smallest-decile stocks. We test...