FIN30016: Financial Accounting Report, SUT, Malaysia The size effect/premium in stock returns is the phenomenon that small-cap stocks on average outperform large-cap stocks over time
| University | Swinburne University of Technology (SUT) |
| Subject | FIN30016: Financial Accounting |
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
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 Help By Expert
At AssignmentHelper.my, we provide professional assignment help for FIN30016 Financial Accounting Report students at SUT, Malaysia. Our team of qualified writers has a wealth of experience in writing Financial Accounting Reports and will be able to provide you with the best assignment writing help. We can assist you in preparing an A+ quality report that meets all academic requirements. We understand the importance of delivering an accurate and well-crafted financial accounting report, so we strive to provide you with comprehensive "do my assignment" services that cover every aspect of your project. Our writers are knowledgeable about the latest research in financial accounting and can easily provide the most up-to-date information on the topic. Check our FIN358 assessment answer, FIN657 assessment answer and many other assignment help.
Recent Solved Questions
- Economics Assignment, UiTM, Malaysia In terms of economic growth, the impacts of the crisis have been severe. The Malaysian economy contracted by 17.1 percent
- BDGO4103: Explain the organisational behavioural theories and concepts in real organisational setting: Organisational Behaviour Gelagat Organisasi, Assignment, OUM, Malaysia
- Capital Budgeting Assignment : PIONG Corporation Case Study for NPV, IRR & Risk Analysis
- Human Ecology Thesis, MUM, Malaysia In the year 2001, the Global System of Mobile Telecommunication (GSM) was introduced into the Nigerian market
- WOX7001 Research Methodology Assignment 1: Research Problem Identification & Literature Review 2025/2026
- BBF305/03: Investment and Portfolio Management Assignment, WOU, Malaysia Evaluate the three mutual funds using Sharpe and Treynor measure and Given the risk-free rate is 5%
- FIT3155: Advanced Data Structures and Algorithms Assignment, MUM, Malaysia Develop a Java program using STACK CONCEPT that is able to do ALL of the following requirements as below
- CSS3133: Knowledge Management Assignment, UOW, Malaysia What are the main ideas in these articles and What kind of knowledge management models are the authors describing
- Business Research Method Dissertation, MUM, Malaysia What is the impact of Corporate Governance Practices on the Organisational Reputation of SMEs in Malaysia
- Procurement Management Assignment: Comparative Study of Methods for Large-Scale Projects
