Size Effect in Financial Assets Pricing

This work is aimed at studying the effect of size in the emerging capital markets of the BRICS countries between January 2001 and April 2017. In the course of the empirical study, daily closing prices of companies operating in Russia, Brazil, India, South Africa and China were used. The results of testing showed that for most of the BRICS countries there is a negative dependence of the yield of shares on the market capitalization of the issuing company. It was also found that the impact of the January effect on profitability in the markets under consideration is insignificant. According to the results obtained, the size effect is statistically and economically significant in all the considered markets, except India. Such relative similarity of results can be explained by similar economies of these countries. Moreover, it was found that the significance of the size effect depends on the volatility of the market in question - the more volatile the market, the more significant the effect of size.