The impact of share price on seasonality and size anomalies in Australian equity returns

Clive Gaunt, Philip Gray, Julie McIvor

Research output: Contribution to journalArticleResearchpeer-review

39 Citations (Scopus)


Given the high correlation between a firm's stock price and market capitalisation, it is possible that the well-documented size anomaly is masking a share-price effect. Using a seemingly unrelated regression model to accommodate contemporaneous correlation between portfolios, we estimate the separate effects of firm size and share price on returns to Australian equity portfolios. The analysis is also extended to estimate seasonal components of size and price effects. Our major findings are: (i) firm size and share price have significant and independent effects on portfolio returns averaged over all months, (ii) the familiar negative relation between size and returns is confirmed across all months, and (iii) the relation between share price and returns is negative in July and positive in all other months (with the exception of January where no price effect occurs). These findings, which are consistent across subperiods and robust to method variations, highlight the need for future research to provide an economic foundation for the relation between average returns, size and price.

Original languageEnglish
Pages (from-to)33-50
Number of pages18
JournalAccounting & Finance
Issue number1
Publication statusPublished - 1 Mar 2000


  • Anomaly
  • Price effect
  • Seasonality
  • Seemingly unrelated regression
  • Size effect

Cite this