The size anomaly in the London Stock Exchange: an empirical investigation

This study tests the size effect in the London Stock Exchange, using data for all nonfinancial listed firms from January 1985 to December 1995. The initial tests indicate that average stock returns are negatively related to firm size and that small firm portfolios earn returns in excess of the marke...

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Bibliographic Details

Main Author:	Jordan V. Jordanov
Format:	Default Thesis
Published:	1998
Subjects:	Other commerce, management, tourism and services not elsewhere classified Returns Markov chain model Vector autoregression London Stock Exchange Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/7067
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