SMALL VS LARGE CAPS. EVIDENCE FROM DEVELOPED AND EMERGING STOCK MARKETS DURING PERIODS WITH AND WITHOUT FINANCIAL CRISIS, SMALL VS LARGE CAPS. EVIDENCIA DE MERCADOS ACCIONARIOS DESARROLLADOS Y EMERGENTES EN PERIODOS CON VS SIN CRISIS FINANCIERA

Eduardo Sandoval

Revista Internacional Administracion & Finanzas, 2015, vol. 8, issue 4, 27-44

Abstract: This paper examines the existence of the size effect in twenty stock markets of developed countries and sixteen stock markets of emerging countries, respectively, during the period of April 2003 to December 2013. The results obtained, using the method of seemingly unrelated regressions, suggest that stock markets of developed countries, small caps portfolios have on average a better performance adjusted for systematic risk either locally or globally in comparison to large caps portfolios during non-crisis periods. This evidence in favor of the size effect, however, does not exist in periods of crisis. On the other hand, stock markets of emerging countries do not present statistically significant differences in the average performance of small versus large caps portfolios during periods with or without financial crisis. This result has important implications in terms of international portfolio diversification discussed at the end of the article.

Keywords: Small vs Large Caps; Size Effect; Performance (search for similar items in EconPapers)
JEL-codes: G13 G17 (search for similar items in EconPapers)
Date: 2015
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