TY - JOUR T1 - Practical Applications of The Size Effect Is Alive and Well, and Hiding Behind Calendar Anomalies JF - Practical Applications SP - 1 LP - 6 DO - 10.3905/pa.7.4.363 VL - 7 IS - 4 AU - David Yechiam Aharon AU - Mahmoud Qadan Y1 - 2020/04/30 UR - https://pm-research.com/content/7/4/1.2.abstract N2 - In The Size Effect Is Alive and Well, and Hiding Behind Calendar Anomalies, in the September 2019 issue of The Journal of Portfolio Management, David YechiamAharon (Ono Academic College) and Mahmoud Qadan (University of Haifa) investigate the size-effect asset-pricing anomaly and its possible recurrence during different calendar periods. Using nearly 90 years of monthly, weekly, and daily data to test for the tenacity of the size effect’s small-cap premium, the authors assess whether and to what degree this pricing anomaly occurs within familiar calendar-based anomalies.Recent research has cast doubt on the presence of the size effect. One such critique holds that, according to the efficient market hypothesis, pricing anomalies cannot persist because investors would invariably exploit them, and the anomalies would disappear. In this article, the authors present conflicting evidence, showing that although the size effect does somewhat diminish over time, it still persists—and even thrives in some cases—within well-known calendar anomalies. Even when controlling for such variables as return type (value-weighted versus equal-weighted), sample periods, and regression-estimation type, the authors observe a frequently robust size effect across multiple seasonal anomalies—a finding notably consequential to investment decisions.TOPIC: Factor-based models ER -