Journal of Applied Sciences1812-56541812-5662Asian Network for Scientific Information10.3923/jas.2012.761.767AmatyakulD. ChintrakarnP. 82012128This study explored the turn-of-the-year and portfolio-rebalancing effect in emerging markets by forming twenty equally weighted portfolios ranked by market equity and firms risk. The medium-size firm quintile was the least risky and was strongly positively significant in risk-return relationship. Moreover, even in those Januaries for which the market return was negative, small firm returns were positive and they were more positive the lower the beta. However, there is no supportive evidence that portfolio-rebalancing effect occurs during the period.]]>Ahortor, C.R.K. and R.A. Olopoenia,201010119Angabini, A. and S. Wasiuzzaman,20115226236Banz, R.W.,19819318Branch, B.,197750198207Blume, M.E. and R.F. Stambaugh,198312387404Chan, K.C.,19864111151128Corhay, A., G. Hawawini and P. Michel,1987424968De Bondt, W.F.M. and R.H. Thaler,198742557581Fama, E.F. and J.D. MacBeth,197381607636Fama, E.F. and K.R. French,199247427465Fama, E.F. and K.R. French,199333356Ferruz, L., I. Marco and F.J. Rivas,20077633653Gultekin, M.N. and N.B. Gultekin,198312469481Haugen, R.A. and J. Lakonishok,1987Pages: 135Pages: 135Jasemi, M., A.M. Kimiagari and M. Jasemi,20113112Jones, C.P., D.K. Pearce and J.W. Wilson,198742453461Kato, K. and J.S. Shallheim,198520243260Keim, D.B.,1983121332Krishnasamy, G., A.S. Santhapparaj and C.A. Malarvizhi,2006626112616Lye, C.T.,201111855860Lye, C.T.,201261728Matallin-Saez, J.C.,2009917761780Ozun, A. and A. Cifter,2007719161923Rahman, M., A. Baten and A.U. Alam,20066662667Reinganum, M.R.,19831289104Rhaiem, N., S.B. Ammou and A.B. Mabrouk,200717987Ritter, J.R.,198843701707Ritter, J.R. and N. Chopra,198944149166Rogalski, R.J. and S.M. Tinic,1986426370Tinic, S.M. and R.R. West,198413561574Vaihekoski, M.,200046878