Topic
Market capitalization
About: Market capitalization is a research topic. Over the lifetime, 3583 publications have been published within this topic receiving 77288 citations. The topic is also known as: market cap & market value.
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TL;DR: In this paper, the authors used data for BSE 500 companies from October 2003 to January 2015 to confirm the presence of strong size effect in Indian stock market and found that returns decrease almost monotonically with firm size.
Abstract: Using data for BSE 500 companies from October 2003 to January 2015, we confirm the presence of strong size effect in Indian stock market. Controlling for penny stocks, we find that returns decrease almost monotonically with firm size. The findings are robust for alternative size measures, i.e. market capitalization, total assets, net fixed assets, net working capital, net sales and enterprise value. We find the presence of non-synchronous trading bias and reverse seasonality effect. It is observed that market, size, value and business cycle factors explain size effect while liquidity and momentum factors have little role in this process. Thus, rational sources explain the size anomaly in the Indian context.
23 citations
TL;DR: In this paper, the authors assess the relevance of mean-variance optimization and benchmark following to explain international financial contagion phenomena and present a framework to systematically extract useful information about market expectations from funds' holdings.
Abstract: Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimization and benchmark following, finding strong evidence for both. We also present a framework to systematically extract useful information about market expectations from funds' holdings.
23 citations
TL;DR: In this article, the impact of different measures of firm size (total assets, total sales, market capitalization and number of employees) on seven important practices of corporate finance was examined, including financial policy, dividend policy, investment policy, diversification, firm performance, compensation and incentives and board structure.
23 citations
TL;DR: Durand et al. as discussed by the authors investigated the relationship between the January effect, market capitalization and value investment strategies on the JSE and concluded that the JSA may not be efficient in the strong form.
Abstract: Extracted from text ... Number 50 - Part 4
1999
EM Robins, M Sandler and F Durand*
Inter-relationships between the January effect, market capitalisation and value investment strategies on the
JSE
* Wits Business School, 2 St Davids Place, Parktown, Johannesburg 2193, Republic of South Africa.
E-mail:
durandf@zeus.mgmt.wits.ac.za
1. Introduction*
South African research has become increasingly circumspect regarding market efficiency on the JSE. Philpott and Firer (1995)
indicated that the JSE may not efficient in the semi-strong form. Thompson and Ward's (1995) review of market efficiency concluded
that the JSE was strong form inefficient, with "at best" mixed evidence regarding its weak and semi-strong ..
23 citations
Posted Content•
01 Jan 2005
TL;DR: In this article, a random walk test is performed for weak-form market efficiency of Istanbul stock exchange and it is concluded that both the results of Dickey-Fuller and run tests are similar and rejected random walk in ISE.
Abstract: The primary objective of this study is to testing weak form market efficiency of Istanbul Stock Exchange. A random walk test is performed for weakform efficiency. The testing of market efficiency of the market it was used istanbul stock exchange's daily stock returns for random walk over the period from January-1995 to January-2004. Istanbul stock exchange is the well known the growing emerging market. We used in the survey Istanbul stock exchange's ISE National-30 index companies. ISE 30 indices were tested using Dickey-Fuller unit root test. For the market efficiency, a model is used that explains the market inefficiencies. We accept that ISE is inefficient because the level of trade volume and market market capitalization of shares are mostly low. In order to test weak form efficiency hypothesis, we analyzed runs tests. It is also tested Dickey-Fuller unit root test wich is well known populer test for the testing of the market efficiency. The run test is also used as a powerful tool to test of random walk in the stock market indicies. It is concluded that both the results of Dickey-Fuller tests and the results of run tests are similar and rejected random walk in ISE. Presented at the 15th International Conference,Istanbul, Turkey, May 2005.
23 citations