Analysis of the Size Effect on Stock Pricing on BRICS Financial Markets

Student: Protsukevich Aleksandr

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Economics (Bachelor)

Year of Graduation: 2018

This work is aimed at studying the size effect on the case of capital markets of the BRICS countries. In the process of the empirical study, test portfolios with different levels of capitalization were compiled on the basis of data on the closing prices of common shares included in main country index for the period from June 2017 to April 2017. The study showed that for portfolios generated based on the grouping of shares by the size of the issuing company, the size effect is not always positive. At the same time, for portfolios of small and medium capitalization, the value of the premium for the size, with the significance of the premium for market risk, was revealed. The January effect turned out to be significant, but its influence is negligible.

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