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

Gishan Dissanaike

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.

Date: 2002
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