NYSE, HKEX & SGX Size Premium Data by Market-Cap Decile
The same CAPM-alpha-per-decile methodology, applied independently to three markets — NYSE-listed, HKEX-listed, and SGX-listed common stocks, each split into 10 market-cap deciles (D1 = largest, D10 = smallest) and equal-weighted, for direct comparability across tabs. SGX is the market the Calc page's own build-up is based on, though its original study used 5 value-weighted quintiles instead — see that tab for why. All three are static snapshots of one-off analyses, not live calculators, and are entirely independent builds — different universes, different benchmarks, and (as the HKEX and SGX tabs below show) very different robustness results.
Rolling 10-year size premium by decile
Firm size by decile (2026 market capitalization)
What "largest" and "smallest" actually mean in dollar terms — each company's market cap at the start of 2026 (its Dec-31-2025 snapshot, the same figure that determined that year's decile assignment). Note the huge range within D1 alone: it spans from the smallest mega-cap in the bucket to the very largest company in the whole universe.
| Decile | Min | Median | Max |
|---|---|---|---|
| D1 (largest) | $52.50B | $100.74B | $1.58T |
| D2 | $20.43B | $31.80B | $52.28B |
| D3 | $10.27B | $13.87B | $20.23B |
| D4 | $6.01B | $7.80B | $10.26B |
| D5 | $3.66B | $4.76B | $6.01B |
| D6 | $2.14B | $2.80B | $3.66B |
| D7 | $1.22B | $1.62B | $2.14B |
| D8 | $603.2M | $837.1M | $1.21B |
| D9 | $295.1M | $411.2M | $596.9M |
| D10 (smallest) | $12.4M | $155.2M | $294.7M |
Full detail
| Decile | Size premium | Actual return | Beta | Companies | Rolling-window history |
|---|---|---|---|---|---|
| D1 (largest) | +1.3% | 11.4% | 1.12 | 179 | 9 window-end-years (2018–2026) |
| D2 | +1.6% | 12.0% | 1.17 | 178 | 8 window-end-years (2019–2026) |
| D3 | +0.8% | 10.4% | 1.11 | 178 | 8 window-end-years (2019–2026) |
| D4 | +3.3% | 12.7% | 1.12 | 178 | 8 window-end-years (2019–2026) |
| D5 | +3.6% | 12.9% | 1.13 | 178 | 7 window-end-years (2020–2026) |
| D6 | +5.3% | 15.0% | 1.24 | 178 | 5 window-end-years (2022–2026) |
| D7 | +6.3% | 17.3% | 1.35 | 178 | 5 window-end-years (2022–2026) |
| D8 | +7.8% | 17.2% | 1.24 | 178 | 5 window-end-years (2022–2026) |
| D9 | +9.0% | 17.3% | 1.02 | 178 | 5 window-end-years (2022–2026) |
| D10 (smallest) | +16.6% | 23.8% | 0.92 | 178 | 4 window-end-years (2023–2026) |
Methodology
- Universe: 1,880 NYSE-listed common stocks (NASDAQ Trader's official symbol directory, exchange code
N, ETFs/preferred/warrants/units filtered out). - Decile construction: every company is assigned a decile each year by its prior Dec-31 market cap (
NTILE(10), D1 = largest, D10 = smallest). Membership is annual; monthly returns within a year use that year's decile assignment. - Benchmark: NYSE Composite Index (
^NYA) as the market proxy. Risk-free rate: US 10-Year Treasury yield (FRED seriesGS10, monthly). - Size premium = CAPM alpha for a decile:
actual return − [Rf + β×(Rm−Rf)], using that decile's own expanding-window, real-time beta — beta for year Y is estimated only from months strictly before January of Y, never look-ahead. - Rolling 10-year figure = trailing 120-month mean of monthly alpha, annualized ×12 (linearly, not geometrically). The window shown here is 2016-08 through 2026-07 for every decile — the most recent fully-populated 120-month window in the dataset, not a hand-picked period.
- Weighting: equal-weighted (simple average across companies in a decile each month) — the version shown here, and, per a robustness check described below, the one that held up best.
Limitations
- Survivorship bias. The 1,880-company universe is the current NYSE listing — companies that delisted, were acquired, or went bankrupt over 2006–2026 are not included. This likely biases returns upward, especially for the smallest, highest-risk decile.
- Shorter effective history than it looks. Price data spans a full 20 years (2006–2026), but Yahoo Finance's shares-outstanding history for US-listed companies is much shallower — usable market-cap coverage across the universe only becomes robust from 2016 onward. The rolling 10-year window above is the earliest one that could be fully populated.
- Uneven confidence across deciles. The 2016–2026 window itself is identical for every decile, but how many independent prior rolling-window readings back it up is not: D1 has 9 window-end-years of history (back to 2018), D10 only 4 (back to 2023). Treat the smallest deciles' premiums as resting on a much shorter track record.
- Beta is per-decile, not per-company. A company's alpha is computed against its decile's typical systematic risk, not its own — the same approximation the SGX study uses.
- Checked and passed: a liquidity filter (require nonzero trading volume on >50% of a month's trading days before that company-month counts) changes every decile's premium by less than 0.04 percentage points — this result is not an illiquid-stock artifact.
- Checked and failed to help: value-weighting (by prior month-end market cap, instead of equal-weighting) was tried specifically to smooth the one interior dip in the ladder (D2→D3) — it fixed that dip but introduced two new ones (D4→D5, D8→D9), making the ladder less monotonic overall. Equal-weighting (shown above) is the more defensible construction here.
- Not yet built: no cost-of-debt side for NYSE, no alternate-benchmark check, no continuous cross-sectional regression (which would be monotonic by construction, unlike a 10-bucket sort).
- This page is a static snapshot from a specific analysis run — it does not update automatically and is not connected to a live database.
The same construction applied to 2,570 HKEX-listed common stocks (Main Board and GEM), using the Hang Seng Index as the market benchmark. Read the robustness section before quoting the headline numbers — unlike the NYSE tab, this one does not survive its own liquidity check.
Rolling 10-year size premium by decile
Firm size by decile (2026 market capitalization, HK$)
Each company's market cap at the start of 2026 (its Dec-31-2025 snapshot). Figures are in Hong Kong dollars, HKEX's own trading currency — no FX conversion is applied here, unlike the app's Calc page.
| Decile | Min | Median | Max |
|---|---|---|---|
| D1 (largest) | HK$34.68B | HK$103.14B | HK$5.41T |
| D2 | HK$10.09B | HK$17.96B | HK$34.42B |
| D3 | HK$3.04B | HK$5.51B | HK$10.08B |
| D4 | HK$1.43B | HK$2.03B | HK$3.04B |
| D5 | HK$764.6M | HK$1.02B | HK$1.43B |
| D6 | HK$424.7M | HK$578.9M | HK$763.2M |
| D7 | HK$245.7M | HK$320.3M | HK$424.6M |
| D8 | HK$144.0M | HK$186.3M | HK$244.2M |
| D9 | HK$76.2M | HK$106.4M | HK$144.0M |
| D10 (smallest) | HK$507K | HK$45.8M | HK$76.1M |
Full detail
| Decile | Size premium | Actual return | Beta | Companies | Rolling-window history |
|---|---|---|---|---|---|
| D1 (largest) | -3.1% | 0.6% | 1.17 | 249 | 10 window-end-years (2017–2026) |
| D2 | -3.7% | -0.0% | 1.11 | 249 | 10 window-end-years (2017–2026) |
| D3 | -5.1% | -1.6% | 0.95 | 249 | 10 window-end-years (2017–2026) |
| D4 | -3.1% | 0.4% | 0.93 | 249 | 10 window-end-years (2017–2026) |
| D5 | +0.9% | 4.3% | 0.98 | 249 | 10 window-end-years (2017–2026) |
| D6 | -0.3% | 3.1% | 0.90 | 249 | 10 window-end-years (2017–2026) |
| D7 | +2.9% | 6.2% | 0.74 | 249 | 10 window-end-years (2017–2026) |
| D8 | +8.1% | 11.4% | 0.75 | 249 | 10 window-end-years (2017–2026) |
| D9 | +16.5% | 19.7% | 0.59 | 249 | 10 window-end-years (2017–2026) |
| D10 (smallest) | +31.7% | 35.1% | 0.69 | 248 | 9 window-end-years (2018–2026) |
Robustness check: unfiltered vs. liquidity-filtered vs. value-weighted
The same >50%-liquid-trading-days-per-month filter that left the NYSE numbers essentially untouched has the opposite effect here — it roughly doubles to quadruples the premium in the upper deciles instead of confirming it. Value-weighting (by prior month-end market cap) tempers the smallest decile somewhat but doesn't resolve the underlying issue, and pushes several mid-size deciles' premiums more negative. 20.7% of company-months were dropped by the liquidity filter here, versus 0.03% for NYSE — this HKEX universe's small-cap tail is considerably more thinly traded.
| Decile | Unfiltered | Liquidity-filtered | Value-weighted |
|---|---|---|---|
| D1 | -3.0% | -2.8% | -0.3% |
| D2 | -3.7% | -3.3% | -5.1% |
| D3 | -5.1% | -4.2% | -5.9% |
| D4 | -3.0% | -0.9% | -5.9% |
| D5 | +0.9% | +3.4% | -2.5% |
| D6 | -0.3% | +4.5% | -1.1% |
| D7 | +2.9% | +12.6% | +0.2% |
| D8 | +8.1% | +22.9% | +4.2% |
| D9 | +16.5% | +40.5% | +2.7% |
| D10 | +31.7% | +74.5% | +20.4% |
Cost of debt by decile
The debt-side complement to the equity study above, built the same way as SGX's cost-of-debt pipeline: a synthetic credit rating from interest coverage (EBIT ÷ interest expense), Damodaran's coverage-to-rating bins, mapped to a current credit spread, cost of debt = risk-free rate + spread — joined to the same decile membership as the equity side above, so both halves of a WACC build line up on the same bucket. Averaged over 2022–2025 (the years with reasonable company counts, same convention as SGX's). Unlike the equity side, this result is roughly monotonic and did not need a robustness caveat — the classic theory prediction (smaller companies borrow more expensively) holds up cleanly here.
| Decile | Cost of debt | Company-years (2022–2025) |
|---|---|---|
| D1 | 5.20% | 681 |
| D2 | 5.54% | 606 |
| D3 | 5.68% | 507 |
| D4 | 5.65% | 483 |
| D5 | 5.90% | 462 |
| D6 | 6.03% | 450 |
| D7 | 6.11% | 402 |
| D8 | 6.17% | 386 |
| D9 | 5.97% | 311 |
| D10 | 6.55% | 240 |
43.8% of company-fiscal-years synthetic-rate as distressed (coverage ≤ 0.5) and are excluded from the table above — a bimodal-noise artifact (25.1% also rate the top Aaa band) from small reported interest-expense denominators, not literal distress across nearly half of HKEX.
Methodology
- Universe: 2,570 HKEX-listed equities. HKEX doesn't publish a clean bulk category-tagged ticker list the way NASDAQ Trader does for NYSE (its own "List of Securities" export turned out to be a stale 5-row stub) — the candidate universe instead comes from HKEXnews's own stock-code search feed, range- and keyword-filtered to exclude the bond/note code blocks and obvious ETFs, then authoritatively filtered to yfinance's own
quoteType = 'EQUITY'(caught 149 ETFs and 1 mutual fund the keyword pre-filter missed). - Decile construction, benchmark, CAPM-alpha, and rolling-window definitions are identical to the NYSE study, substituting the Hang Seng Index for NYSE Composite.
- Risk-free rate: the existing US 10-Year Treasury series (FRED
GS10) is reused as-is rather than a genuine HKD-denominated yield — justified by the HKD/USD Linked Exchange Rate System (a currency-board peg since 1983, HK$7.75–7.85 band), which makes the monthly difference against a true HKD risk-free rate negligible. No free bulk HKD government-bond-yield series was found. This is a deliberate simplification, not an oversight. - Weighting: equal-weighted, shown above as the headline — see the robustness section for why that label matters more here than it did for NYSE.
Limitations
- The headline small-decile premium does not pass its own robustness check — see above. Treat D8–D10's premiums in the "Full detail" table as an upper bound driven substantially by thin trading, not a number to build a WACC on directly.
- Better-than-NYSE window coverage, for what it's worth: 9 of 10 deciles have a full 10 rolling window-end-years (2017–2026); only D10 is shorter (9 years, from 2018). Company-year coverage is also usable earlier than NYSE's (1,333 companies already by 2016, vs. NYSE needing until 2016 just to cross 1,000) — HKEX's own shares-outstanding history via yfinance is deeper than the US market's.
- Survivorship bias, same caveat as NYSE: this is the current HKEX listing, not a point-in-time historical universe — delisted/failed companies over 2006–2026 are absent.
- Risk-free rate is a simplification (USD, not HKD) — see methodology above.
- Beta is per-decile, not per-company — same approximation used everywhere else in this project.
- Not yet built: no alternate-benchmark check, no continuous cross-sectional regression.
- This page is a static snapshot from a specific analysis run — it does not update automatically and is not connected to a live database.
The original study this whole project started from: SGX-listed common stocks, REITs, and business trusts. Rebuilt here by market-cap decile and equal-weighted, matching the NYSE/HKEX construction exactly — the original study used 5 value-weighted quintiles (still the more defensible construction for anything quoted externally, per this project's own testing; see the robustness table below for why). Read the robustness section before quoting the headline numbers — like HKEX, and even more so, this one does not survive its own liquidity check.
Rolling 10-year size premium by decile
Firm size by decile (2026 market capitalization, S$)
Each company's market cap at the start of 2026 (its Dec-31-2025 snapshot). Figures are in Singapore dollars, SGX's own trading currency — no FX conversion is applied here, unlike the app's Calc page.
| Decile | Min | Median | Max |
|---|---|---|---|
| D1 (largest) | S$2.40B | S$6.60B | S$159.94B |
| D2 | S$540.0M | S$1.17B | S$2.34B |
| D3 | S$248.8M | S$365.9M | S$520.2M |
| D4 | S$118.8M | S$178.1M | S$246.0M |
| D5 | S$66.8M | S$90.1M | S$117.4M |
| D6 | S$37.8M | S$47.0M | S$66.5M |
| D7 | S$24.2M | S$30.6M | S$37.8M |
| D8 | S$14.9M | S$19.0M | S$24.1M |
| D9 | S$8.7M | S$11.7M | S$14.9M |
| D10 (smallest) | S$623K | S$5.3M | S$8.6M |
Full detail
| Decile | Size premium | Actual return | Beta | Companies | Rolling-window history |
|---|---|---|---|---|---|
| D1 (largest) | -0.3% | 7.0% | 0.94 | 48 | 10 window-end-years (2017–2026) |
| D2 | +1.0% | 6.9% | 0.69 | 48 | 10 window-end-years (2017–2026) |
| D3 | -1.8% | 5.3% | 0.90 | 48 | 9 window-end-years (2018–2026) |
| D4 | -1.6% | 6.3% | 1.05 | 47 | 9 window-end-years (2018–2026) |
| D5 | -3.2% | 3.0% | 0.75 | 47 | 9 window-end-years (2018–2026) |
| D6 | -2.4% | 4.6% | 0.86 | 47 | 9 window-end-years (2018–2026) |
| D7 | +6.6% | 13.2% | 0.81 | 47 | 8 window-end-years (2019–2026) |
| D8 | +9.1% | 13.3% | 0.38 | 47 | 8 window-end-years (2019–2026) |
| D9 | +22.8% | 27.7% | 0.52 | 47 | 8 window-end-years (2019–2026) |
| D10 (smallest) | +57.1% | 62.9% | 0.67 | 47 | 8 window-end-years (2019–2026) |
Robustness check: unfiltered vs. liquidity-filtered vs. value-weighted
The same >50%-liquid-trading-days-per-month filter that left the NYSE numbers essentially untouched tells the same story here as it did for HKEX, only more so: it removes 39.6% of company-months (vs. HKEX's 20.7%, NYSE's 0.03%) and roughly doubles the two largest premiums (D9: +22.8%→+48.2%, D10: +57.1%→+101.7%) instead of confirming them — this is SGX's well-documented 31.7% zero-volume-day rate showing up directly in the smallest deciles. Value-weighting tempers D10 (+57.1%→+21.9%) but turns D5–D6 substantially more negative instead of fixing anything — the same "doesn't fix it, just moves the noise" conclusion NYSE's and HKEX's own value-weighting checks reached.
| Decile | Unfiltered | Liquidity-filtered | Value-weighted |
|---|---|---|---|
| D1 | -0.3% | +0.2% | +2.7% |
| D2 | +1.0% | +1.1% | +1.7% |
| D3 | -1.8% | -1.6% | -1.8% |
| D4 | -1.6% | +0.6% | -2.1% |
| D5 | -3.2% | +5.8% | -4.5% |
| D6 | -2.4% | +2.6% | -8.8% |
| D7 | +6.6% | +24.4% | -2.1% |
| D8 | +9.1% | +26.9% | +6.0% |
| D9 | +22.8% | +48.2% | +4.2% |
| D10 | +57.1% | +101.8% | +21.9% |
Methodology
- Universe: 615 SGX-listed stocks, REITs, and business trusts (SGX's own securities master API, ETFs/structured warrants/bonds excluded), 2006–2026.
- Decile construction, CAPM-alpha, and rolling-window definitions are identical to the NYSE and HKEX studies —
NTILE(10)by prior Dec-31 market cap, expanding-window real-time beta (year Y uses only months strictly before January of Y), rolling 120-month mean alpha annualized ×12. - Benchmark: Straits Times Index (STI) as the market proxy. Risk-free rate: MAS 10-Year Singapore Government Securities yield, monthly.
- Weighting: equal-weighted, shown above as the headline for consistency with the NYSE/HKEX tabs — see the robustness table for why that label matters more here than it did for NYSE.
- Cost of debt for this same SGX universe is built separately (synthetic credit rating from interest coverage) — see the Calc page's methodology panel for that side of the build-up.
Limitations
- The headline small-decile premium does not pass its own robustness check — see above, and treat D8–D10's premiums as an upper bound driven substantially by thin trading, same caveat as HKEX's decile study.
- Not a clean ladder even before the robustness issue. D1–D6 are all roughly flat to slightly negative rather than a smooth decline, before the sharp D7–D10 climb — a shape closer to a flattened version of HKEX's than to NYSE's steady ladder.
- Uneven confidence across deciles. D1/D2 have a full 10 rolling window-end-years (2017–2026); D7–D10 only 8 (2019–2026).
- Rolling-10y windows are highly autocorrelated — adjacent windows share 119 of 120 months, so the 8–10 rolling windows of history behind each decile are not independent observations. A standard deviation across them would understate true uncertainty.
- Beta is per-decile, not per-company — same approximation used for NYSE and HKEX.
- STI is price-only (no dividends recorded) — an EWS-SGD (MSCI Singapore, total-return) benchmark swap was tried on the original quintile study and lowers every bucket's alpha by roughly 1–1.5 percentage points, mostly reflecting that apples-to-oranges gap rather than a real difference in what "the Singapore market" returned; not yet re-checked against this decile version.
- This page is a static snapshot from a specific analysis run — it does not update automatically and is not connected to a live database.