Abstrakt:
The purpose of this paper is to examine whether the size effect prevails in
the international markets because there is a criticism that size effect is an outcome of
data snooping bias. This study finds that size effect survives in capital markets in
United States [US] as well as in other international markets. Further, the study reveals
that the size effect appears only in the up-market condition. Recently, size factor has
become a popular member in multifactor asset pricing models. However, the role of
the size factor in multifactor models in conditional markets is still uncovered.
