REVISITING THE SIZE EFFECT IN THE BOVESPA

However, there are few studies focused on its practical applicability. In this context, the aim of this study is two-fold.

First, we examine price and volatility linkages among large, medium, and small firms employing a multivariate VAR-BEKK model. Second, we provide the out-of-sample performance of optimal portfolios constructed on the basis of time-varying return and volatility forecasts from this specification approach. Our overall results show that optimal portfolios are primarily composed of medium and small firms.