Does the Size Effect Explain the UK Winner-Loser Effect?

Dissanaike (1997) found a long-term winner-loser effect in the UK, within a sample of large (FT500) companies. However, he did not investigate as to whether there was a size effect within his sample, nor did he check to see if it subsumed his winner-loser effect. We find evidence of a size effect within the FT500 sample, and the size and winner-loser effects are not unrelated. But, there is no evidence to suggest that the size effect subsumes the winner-loser effect.