FIN30016: The size effect/premium in stock returns is the phenomenon that small-cap stocks on average outperform large-cap stocks over time: Financial Accounting Report, SUT, Malaysia


Swinburne University of Technology (SUT)

*We aren't endorsed by this school

Assignment Type

Individual Assignment


FIN30016: Financial Accounting

Uploaded by Malaysia Assignment Help



The size effect/premium in stock returns is the phenomenon that small-cap stocks on average outperform large-cap stocks over time. Therefore, the size premium can be inferred by the portfolio return difference between a small-sized and a large-sized portfolio (i.e. small minus big).

In this assignment, you will evaluate the performance of the size premium across the globe. Professor Kenneth French is one of the authors of Fama and French’s (1993) three-factor model that incorporates a size premium.

In his data library, he has shared historical returns for various asset classes and portfolios, including the size premiums. In the Excel file titled ‘Size premiums across regions’ attached to this assignment on Canvas, you can download the monthly size premiums across six regions/countries:

1) Developed
2) Emerging
3) Europe
4) Japan
5) Asia-Pacific Excluding Japan
6) North America

Stuck in This Assignment? Deadlines Are Near?

That is, the number in each cell indicates the monthly size premium for that particular country/region. You are also given the global market monthly premium named ‘Global Market’. Based on the Excel spreadsheet indicated above, perform the following tasks.

1) Calculate the time-series average returns and standard deviations to the size premiums across the six regions/countries. You should also consider the reward to risk ratios calculated as premiums divided by standard deviation. Over the sample period and regions/countries considered, do you think that size matters in investment strategy?

2) Compare the performance of these size premiums with the global market premium over the same period. Do they outperform or underperform the market?

3) Examine the time-series return pattern of these size premiums. Are there any specific periods in which the size premiums outperform or underperform? Based on the time-series return pattern, do you think market condition (e.g. boom or recession) plays a role in explaining the
return variation for the size premiums?

Get 30% Discount on This Assignment Answer Today!

Get Help By Expert

We are the best assignment writing help online provider on FIN30016: Financial Accounting. At Malaysia Assignment Help Our native writers are highly qualified to write doubtless solutions on accounting assignments at an academic price.



Instant Paper Writing Services by Native Malaysia Writers

Plagiarism Free Solutions
100% Original Work
24*7 Online Assistance
Native PhD Experts
Hire a Writer Now
Convincing Features
Plagiarism Free Report
On-Time Delivery
Native Writers
A+ Quality
100% Confidential
24*7 Online Assistance

Get these features included in Your Assignment

Get Assistance for Assignments, online Exam, and Projects Writing