market (McGuigan et. al., 2006) etc. Page 10/40 Literature Review (Cont) • Hamon, J. and Jacquillat, B. (1999) studies on the relationship between size of the company and its stock return. They find that

financial theory e.g. Capital Asset Pricing Model (CAPM) based on the efficient market (McGuigan et. al., 2006). Hamon, J. and Jacquillat, B. (1999) study on the relationship between size of the company and