Small firm effect: The case for banks |
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| Authors: | Joseph Aharony Haim Falk |
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| Institution: | (1) Faculty of Business, Tel Aviv University, Tel Aviv, Israel;(2) Baruch College, City University of New York, New York, USA;(3) Faculty of Business, McMaster University, L8S 4M4 Hamilton, Ontario, Canada |
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| Abstract: | This article contributes to the small firm effect literature by examining weekly returns on common stocks of 73 banks for the 19-year period from 1969 to 1987. It differs from previous research in this area in both the analytical tool employed and the sampled firms. The findings suggest that the small firm effect is strong, is persist over long investment periods, and is monotonically increasing with the increase in firms' size. |
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