Robustness of Size and Value Effects in Emerging Equity Markets, 1985-2000

Texas Christian University Center for Financial Studies Working Paper

50 Pages Posted: 17 May 2001  

Christopher B. Barry

Texas Christian University - M.J. Neeley School of Business

Elizabeth Goldreyer

University of Denver

Larry J. Lockwood

Texas Christian University

Mauricio Rodriguez

Texas Christian University

Date Written: May 2001

Abstract

We examine the robustness of size and book-to-market effects in 35 emerging equity markets during 1985-2000. Book-to-market effects are significant and are robust to tests accounting for non-normality and for firm size effects, and they do not depend on extreme returns. Size effects are also present but do not have the robustness found for book-to-market results. Book-to-market effects are found within size portfolios, but size effects are not found within book-to-market portfolios. Significant size results are produced by extreme returns. Moreover, size effects are found when size is measured relative to the local market but not in tests using absolute firm size. Cross-sectional regressions controlling for global and local systematic risk confirm the findings.

Keywords: Asset pricing anomalies, book-to-market effect, size effect, emerging markets, international financial markets

JEL Classification: G12, G14, G15

Suggested Citation

Barry, Christopher B. and Goldreyer, Elizabeth and Lockwood, Larry J. and Rodriguez, Mauricio, Robustness of Size and Value Effects in Emerging Equity Markets, 1985-2000 (May 2001). Texas Christian University Center for Financial Studies Working Paper. Available at SSRN: https://ssrn.com/abstract=270226 or http://dx.doi.org/10.2139/ssrn.270226

Christopher B. Barry (Contact Author)

Texas Christian University - M.J. Neeley School of Business ( email )

Box 298530
Fort Worth, TX 76129
United States

Elizabeth Goldreyer

University of Denver ( email )

Reiman School of Business 2101 South University Blvd.
Denver, CO 80208-2685
United States

Larry J. Lockwood

Texas Christian University ( email )

Fort Worth, TX 76129
United States
817-921-7420 (Phone)
817-921-7227 (Fax)

Mauricio Rodriguez

Texas Christian University ( email )

P.O. Box 298530
Fort Worth, TX 76129
United States
817-921-7514 (Phone)
817-921-7227 (Fax)

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