To avoid the ambiguity of joint-hypothesis problem, this study employs the th d norm lower
bound of stochastic discount factor developed by Snow (1991) to examine the size effect in the Taiwan
Stock Exchange. The tests significantly reject the hypotheses that the small size portfolios contain no
more additional information over those contained by the market portfolio. This implies that only use of
the market portfolio is not enough to correctly price the small size portfolios or firms.
