Size effect in international markets: a survey of literature

Abstract

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.