Noisy information and the size effect in stock returns

The Relationship between Firm Sizes and Stock Returns of Service Sector in Ho Chi Minh City Stock Exchange

“…Following the underlying understanding of CAPM model, the higher level of risk probably generates higher level of returns. Besides, this argument also appears persuasive by the study of Vanden (2015). In emerging markets, particularly the weak form of market efficiency, the noisy information significantly gets embedded in stock prices.…”

“…It results in generating higher expected returns in comparison to its actual value. Otherwise, the big corporations tend to highly commit to the finance-related regulation from the government (Vanden, 2015). They always publish their financial information as required and their related information could be easily accessed via publish information channels.…”