The purpose of this study is to test empirically the anomalies - the firm size effect and the seasonality of stock return - based on the firm size in Korean stock market. In Korean stock market, there exist attributes that are different from foreign stock market in trading rule, trading cost and the degree of internationalization of stock market.
In this situation, the results of this empirical study are different from the literature that is studied in foreign stock markets.
The major results are following:
1. The firm size effect occurs weakly.
2. The smallest firm size effect dose not exist, middle size portfolios are holding high excess return and larger size portfolios are doing negative excess return.
3. In the seasonality of the stock return, January effect exist in all firm size portfolios and is not related with firm size.
4. In Korean stock market, the most attribute is April effect and this is related with firm size effect.
Asset size can be used as the proxy for firm size for further study and also economic interpretation of April effect should be taken consideration.