The Impact of Share Price on Seasonality and Size Anomalies in Australian Equity Returns

Posted: 7 Jul 2000  

Clive Gaunt

Queensland University of Technology - School of Accountancy

Philip Gray

Monash University - Department of Banking and Finance

Julie McIvor

Queensland University of Technology - School of Economics and Finance

Abstract

Given the high correlation between a firm's stock price and market capitalisation, it is possible that the well-documented size anomaly is masking a share-price effect. Using a seemingly unrelated regression model to accommodate contemporaneous correlation between portfolios, we estimate the separate effects of firm size and share price on returns to Australian equity portfolios. The analysis is also extended to estimate seasonal components of size and price effects. Our major findings are: i) firm size and share price have significant and independent effects on portfolio returns averaged over all months, ii) the familiar negative relation between size and returns is confirmed across all months, and iii) the relation between share price and returns is negative in July and positive in all other months, with the exception of January where no price effect occurs. These findings, which are consistent across sub-periods and robust to method variations, highlight the need for future research to provide an economic foundation for the relation between average returns, size and price.

JEL Classification: G12, G14

Suggested Citation

Gaunt, Clive and Gray, Philip and McIvor, Julie, The Impact of Share Price on Seasonality and Size Anomalies in Australian Equity Returns. Accounting and Finance, Vol. 40, Issue 1. Available at SSRN: https://ssrn.com/abstract=232389

Clive Gaunt (Contact Author)

Queensland University of Technology - School of Accountancy ( email )

Gardens Point Campus B, Block Room 328
Brisbane, Queensland 4001
Australia
3864 4323 (Phone)
3864 1812 (Fax)

Philip Gray

Monash University - Department of Banking and Finance ( email )

Building H
Caulfield, Victoria 3141
Australia

Julie McIvor

Queensland University of Technology - School of Economics and Finance

GPO Box 2434
2 George Street
Brisbane, Queensland 4001
Australia

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