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

Gishan Dissanaike
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Gishan Dissanaike: University of Cambridge

Journal of Business Finance & Accounting, 2002, vol. 29, issue 1&2, 139-154

Abstract: 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. Copyright Blackwell Publishers Ltd 2002.

Date: 2002
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