摘要：This study investigates how firm size impact abnormal returns for three well-knownanomalies, namely, the operating accruals (OA), earnings-to-price (EP), and momentum (MOM).It is demonstrated that the abnormal returns for OA and EP anomaly are mainly due to small sizefirms even after using NYSE breakpoints. Value-weighted returns can reduce the magnitude andsignificance of the abnormal returns of operating accruals, but it can only eliminate the EPabnormal returns during the sample period. There is no significant size effect on the abnormalreturns of MOM. Analyses of subsamples in different size groups show significant abnormalreturns only exist in small size firms, which corroborates with the results using the wholesample. The size effect is not due to survivor bias.
