A Closer Look at the Size Effect in the Dhaka Stock Exchange (DSE)
Chowdhury, Shah Saeed.Hassan
Shimon, Zubair Ahmed
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The tendency of small ﬁrms to produce more returns than large ﬁrms is often referred to as ‘size eﬂect“. While this eﬂect is evident in many research papers pursued in the context of developed markets, little attention is given to this eﬁect in a ﬂedgling capital market like the DSE. In this backdrop, this paper investigates the existence of size effect in the DSE, Return behavior before and after the 1996 stock market crash is also taken into account to track whether or not investors have changed their views regarding size of firms. Results show that size eﬂect exists in the DSE; size-related risk, a measure of economy-wide risk factor, does explain the returns of portfolios of small and Zarge ﬁrms. Before the crash, big ﬁrms produced higher return than small firms, but after the crash, theﬁzrmer has lost‘ more than the latter.