The drivers of the size effect in the Australian equity market

This thesis examines the existence of the size effect from different viewpoints, using a sample of more than 2,000 Australian companies. It offers supporting evidence for the size effect and posits that an existing factor — quality — has explanatory power for the cross-section of expected stock returns under different conditions. Moreover, I propose considering two approaches to decomposing firm size into horizon-based and category-based components.