Academy of Accounting and Financial Studies Journal (Print ISSN: 1096-3685; Online ISSN: 1528-2635)

Abstract

The Size Effect Anomaly: The Case Of Amman Stock Exchange

Author(s): Sari Sulaiman Malahim, Mousa Saeed Matar

This study aims to test the effect of company size on risk adjusted return in Amman Stock Exchange (ASE) and investigating if there are anomalies in that Bourse. According to efficient market hypothesis, risk adjusted return for small-capitalization (CAPS) must quietly equal risk adjusted return for large-capitalization(CAPS); otherwise, this will lead to breaking the efficient market hypothesis and existing of anomalies in Amman Stock Exchange. On this paper an attempt to investigate if there is a statistically difference between small-caps and large-caps risk adjusted return. And also an attempt to investigate the existing of anomalies in Amman Stock Exchange. The size of company was determined on the basis of the company total assets; to implement that criteria, the median for all companies was estimated, then companies less than median were considered as small- caps and companies more than median were considered as large- caps. The hypothesis of this study was examined by using parametric tests as one-sample test and paired sample test. It was found that there was a statically significant relationship between risk adjusted return between large-caps and small-caps and also found that the risk adjusted return for small caps outperform the risk adjusted return for large- caps. This study can be a source of help to technical analysts to benefit from that anomaly and to improve their investment strategies regarding that information. And it is also a source of help to academic people and researcher to perceive that inefficiency case.

Get the App