«Эффект размера» и затраты на собственный капитал
The size effect still remains one of the mysteries of capital markets. This effect assumes that common shares of small-sized companies tend to provide a higher average return compared with an average return of large-sized companies. It was first discovered by Banz (1981) during the test of asset pricing model (CAPM) in the U.S. market. The discovery led to further investigation of the issue in U.S. capital market and other developed and developing capital markets. However, until now in the scientific community there is no consensus about the real presence of this effect in capital markets and its magnitude.
Despite it, the size premium is actively used in the practice of companies, funds and individual analysts for valuation of the cost of equity. Most of them use premiums of such reports as Valuation Handbook –- Guide to Cost of Capital (former Ibbotson SBBI Classic Yearbook) published by Morningstar, Inc. In addition to instable presence of the size effect, it should be noted that information presented in this report are based on data of the U.S. capital market and, consequently, should be adjusted before the implementation for companies from other capital markets.
This paper presents an overview of studies devoted to analysis of the size effect on developed and developing capital markets. We systematized and summarized different approaches of assessing the size premiums, compared the obtained empirical results and summarized possible explanations for this effect. In this study we also identified the features under the analysis of the size effect, as well as discussed causes of the appearance of the effect, in general, in capital markets and its further disappearance in several countries.