Evaluation of the Company Size Effect on Latin American Stock Markets

Evaluation of the Company Size Effect on Latin American Stock Markets

This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that...

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Veröffentlicht in:Ecos de economía 2013-11, Vol.17 (37), p.5-28
Hauptverfasser: Juan Benjamín Duarte Duarte, Zulay Yesenia Ramírez León, Katherine Julieth Sierra Suárez
Format: Artikel
Sprache:eng ; spa
Schlagworte:
Capital assets
CAPM
Efecto tamaño
Mercados latinoamericanos
Securities markets
Size
Statistical analysis
Stock exchanges
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Zusammenfassung:This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.
ISSN:1657-4206
2462-8107
DOI:10.17230/ecos.2013.37.1