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Does the Size Effect Explain the UK Winner‐Loser Effect?
Author(s) -
Dissanaike Gishan
Publication year - 2002
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00427
Subject(s) - sample size determination , sample (material) , economics , psychology , econometrics , statistics , mathematics , chemistry , chromatography
Dissanaike (1997) found a long‐term winner‐loser effect in the UK, within a sample of large (FT500) companies. However, he did not investigate as to whether there was a size effect within his sample, nor did he check to see if it subsumed his winner‐loser effect. We find evidence of a size effect within the FT500 sample, and the size and winner‐loser effects are not unrelated. But, there is no evidence to suggest that the size effect subsumes the winner‐loser effect.