Does the Size Effect Explain the UK Winner‐Loser Effect?
Journal of Business Finance & Accounting, 2002, vol. 29, issue 1‐2, 139-154
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.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:29:y:2002:i:1-2:p:139-154
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Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker
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