2025, Vol. 8, Issue 1

author(s)
Doaa Ahmed Abdulqader Anber

abstract
This study aims to analyze and measure the impact of firm size on abnormal stock returns during the period (2013-2022). The study is based on the hypothesis that firm size affects abnormal stock returns. To achieve the study’s objective and validate its hypothesis, a quantitative approach was adopted to determine the type and magnitude of the effect between the study variables. The study relied on data from the sample banks for the period (2013-2022). After conducting the stationarity test, it was found that all variables became stationary after the first difference. Accordingly, an Autoregressive Distributed Lag (ARDL) model was constructed and estimated. Additionally, a series of diagnostic tests confirmed that the model was free from econometric issues. The study reached several conclusions, the most notable of which is the existence of a positive and significant relationship between firm size and abnormal stock returns in both the short and long run. The study recommends enhancing transparency and financial disclosure to increase investor confidence and stabilize the financial market.