Are Size and January Effects Related? Evidence from the Tunisian Stock Exchange

In this paper, we examine the existence of the size effect in the Tunisian stock exchange (TSE) over the period January 2008 to December 2013 and we test the relationship between size and January effects. Thefindings reveal that there is a size effect in the TSE. However, we report that size and January effects are separateanomalies. More specifically, we document that average returns are found to increase with decreases in size.However, we find that small firms don’t significantly outperform large firms in January.