SMALL FIRM AND STOCK RETURN SEASONALITY: (NEW) EVIDENCE FROM THE LISBON STOCK EXCHANGE

Abstract

This study examines, month In month. the empirical relation bet1reen market 1•ol11e ond abnormal returnsfor the Lisbon Exchange listed stocks. Elidence is prolided that supports a "si-::.e effect", \\here 1he market lal11e is positilely related to abnormal returns and selling pressure surrogates ha1•e o significant mle in explaining excess returns for si-::.e ranked por(folios. The results shm1· that i-::.e is positilely related 11·ith (l/Jnormal returns for the January to September returns and th(lt the effect is portially relersedfor the last three months of the yec11: This e1·idence is unqffected llhen thin trading is token into account br using olternatile heta estimation 111ethods; holl- ele1; it is partly explained by the 111(1rket trading patterns.