Year of Graduation
Small Firm Anomaly in the Russian Stock Market
The present paper involves investigation of the size effect and its interrelationship with the liquidity risk in the Russian stock market. The research adopts an approach similar to those of Fama and French (1992, 1993) and Clayton (2008). The Russian stock market data from the MICEX is analyzed during the period from November 2009 to April 2012. Unlike previous studies on the size effect, a special consideration is given to the complex concept of liquidity in the present study. Sample formation on the basis of index and non-index stocks and composition of three equally-weighted quantile portfolios ensure a deep and thorough insight in the Russian stock market. As a result, the present study reveals an inverse size effect, a direct relationship between liquidity and firm size, and their cumulative effect on stocks’ expected returns.