Adam ZarembaMehmet UmutluZaremba, AdamUmutlu, Mehmet2025-10-062018106294081062-94081879-086010.1016/j.najef.2017.09.0022-s2.0-85034841866https://www.scopus.com/inward/record.uri?eid=2-s2.0-85034841866&doi=10.1016%2Fj.najef.2017.09.002&partnerID=40&md5=42f8461db6650d17f67eb03f1103a964https://gcris.yasar.edu.tr/handle/123456789/9637https://doi.org/10.1016/j.najef.2017.09.002We explore the country and industry size effects by decomposing market value into four components: short-term return representing momentum, long-run return representing reversal, composite issuance, and lagged market value. We examine the implications of this decomposition for the country and industry size premia within a sample of 51 equity markets for the years 1973–2017. We confirm a significant size effect across countries and uncover an industry size effect: small industries markedly outperform large industries. While the cross-sectional dispersion in market value is determined almost exclusively by the lagged market value component the country and industry size premia have two prmary drivers: lagged market value and long-run reversal. Our analysis also discovers an industry issuance effect and a remarkable January effect inboth country and industry returns. Finally we also shed some light on the vanishing small country effect in the last decade. © 2018 Elsevier B.V. All rights reserved.Englishinfo:eu-repo/semantics/closedAccessAsset Pricing, Country Size Effect, Decomposition, Industry Size Effect, International Investment, Return Predictability, Size Premium, Small Country PremiumCountry Size EffectIndustry Size EffectInternational InvestmentReturn PredictabilitySmall Country PremiumDecompositionSize PremiumAsset PricingArticle