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This paper mainly studies the size and value effect to explain cross-section of expected returns in Dhaka Stock Exchange (DSE) in Bangladesh. Using the well-known Fama and French (1993) three-factor methodology in association with descriptive statistics we have evidenced that small size firms along with high book to market (BM) firms tend to produce higher average monthly returns than big firms along with low BM firms do. We also found that the size and value premium as well as market risk premium have very strong power to explain cross-section of expected return in DSE. The validity of three-factor model is also examined in this study and found that the three-factor model is well fitted in DSE with high R square value. One notable observation is that the market risk premium is the only factor which is significant in all portfolios and in all sample data and has dominant power over other factors.

The Size and Value Effect to Explain Cross-Section of Expected Stock Returns in Dhaka Stock Exchange