Do SMEs listed on the Alternative Investment Market outperform SMEs listed on Euronext?

This paper examines the performance of small and medium enterprises (SMEs) listed on the Alternative Investment Market (AIM) with that of Euronext. The analysis compares SMEs in both markets using index prices for a period of 10 years Jan. 2010 to Dec. 2019 from Euronext (Paris and Brussels) and AIM, as well as SMEs own financial reports. CAPM and Fama and French three factor were applied using OLS regression analysis to capture the risks and returns of the two stock markets. The interpretation of Alphas and betas revealed that the Alphas, betas, and adjusted R square ranges in the CAPM model are less significant than those in Fama and French 3 factor model; the two models are more consistent with the Euronext than AIM. However, it is important to highlight that AIM SMEs overall performance in terms of risk and return is higher than those of Euronext.