Small Firm and Value Effects in the Canadian Stock Market
AbstractWe examine the relation among average returns, market beta, firm size, and book-to-market value for Canadian stocks during 1975-92. We document a negative relation between average return and the market capitalization of firms, but find no relation between average return and market beta. While the small firm effect is significant during a period of reduced capital gains tax, it is noticeably lower than during the period leading up to the change. We find that average returns are positively related to book-to-market value especially during the period of lower capital gains tax.
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 21 (1998)
Issue (Month): 3 (Fall)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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- Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A., 2012. "The investment value of the value premium," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 416-437.
- Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
- L'Her, Jean-Francois & Masmoudi, Tarek & Suret, Jean-Marc, 2004. "Evidence to support the four-factor pricing model from the Canadian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 313-328, October.
- van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
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