Does the Size Effect Explain the UK Winner‐Loser Effect?

Abstract

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. Copyright Blackwell Publishers Ltd 2002.

Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis

“…Bowman and Iverson (1998) also document the weekly price reversals in New Zealand during the period between 1967 and 1986 where contrarian profits are robust in relation to risk, size, and bid-ask bounce effects. Empirical studies done on other individual markets such as the UK, Greece, Germany, and others are also provided by several researchers (see Brouwer, Van Der Put, & Veld, 1997;Chan & Hameed, 2000;Dissanaike, 2002;Gregory, Harris, & Michou, 2001;Schiereck, De Bondt, & Weber, 1999;Scott, Stumpp, & Xu, 2003;Weimin, & Strong, 1999).…”

The Return of the Size Anomaly: Evidence from the German Stock Market

“…Yet, despite the relatively large gains in value over the post‐ranking period, the smallest size portfolio nevertheless remains in the smallest quintile rank in this sample. Dissanaike's (2002) suggestion of the size effect serving as a proxy for investor over‐reaction does not hold for this sample. At least over the post‐ranking period I examine here, there is rather a sign of momentum within size quintile ranks.…”

“…Lakonishok et al (1994), amongst these, argue that investors overreact to past (good and bad) information and drive stock prices away from their intrinsic values. Similarly, Dissanaike (2002) argues that the small-firm effect is merely an indication of investor overreaction and provides evidence for the UK that small size firms are also those with relatively negative stock price performance over the past. Hong et al (2000), on the other hand, link the size effect to short-term momentum in stock returns.…”

Size effect, methodological issues and ‘risk-to-default’: evidence from the UK stock market

“…Similarly, this study also aims to address the issue of data selection regarding UK financial data. Analytically, prior research in the UK market (Levis 1985;Dimson and Marsh 1999;Levis and Liodakis 1999;Dissanaike 2002) is based on the use of almost identical datasets from the combination of the two main sources of data for the UK stock market, the London Share Price Database (LSPD) and Thomson Datastream (TDS). Nonetheless, the presence of survivorship bias in the aforementioned databases 1 can lead to a possible over-/underestimation of the small-size effect; while the use of these two databases as the only source of financial data should be considered as the cause for the resemblance of the empirical findings in the various UK size-effect studies mentioned before.…”