(Universidad ESAN. ESAN Ediciones, 2013-10-30) Duarte Duarte, Juan Benjamín; Ramírez León, Zulay Yesenia; Mascareñas Pérez-Iñigo, Juan Manuel
In this paper we analyze the historical returns of the companies listed on the Colombian stock exchange, from January 2004 until June 2012, in order to determine the possible presence of a risk premium in smaller companies relative to larger ones. This premium is known as Size Effect and it has been found that it is significant after adjusting of risk by Capital Asset Pricing Model. The results obtained in this work for the stock market in Colombia do not show the presence of an additional risk premium due to the size of enterprises, rejecting both size effect and reverse size effect.
