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Book-to-market and size as determinants of returns in small illiquid markets: the New Zealand case

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  • Pinfold, John F.
  • Wilson, William R.
  • Li, Qiuli

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  • Pinfold, John F. & Wilson, William R. & Li, Qiuli, 2001. "Book-to-market and size as determinants of returns in small illiquid markets: the New Zealand case," Financial Services Review, Elsevier, vol. 10(1-4), pages 291-302.
    • Handle: RePEc:eee:finser:v:10:y:2001:i:1-4:p:291-302
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    5. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    6. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-467.
    7. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    8. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    9. Fama, Eugene F & French, Kenneth R, 1995. "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
    10. De Bondt, Werner F M & Thaler, Richard H, 1987. "Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-581, July.
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    12. Daniel, Kent & Titman, Sheridan, 1997. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, American Finance Association, vol. 52(1), pages 1-33, March.
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    17. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
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    Cited by:

    1. Elfakhani, Said & Wei, Jason, 2003. "The survivorship bias, share price effect, and small firm effect in Canadian markets," Review of Financial Economics, Elsevier, vol. 12(4), pages 397-411.
    2. Hai Lin & Daniel Quill & Henk Berkman, 2016. "Information diffusion and the predictability of New Zealand stock market returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 749-785, September.
    3. Monia Ben Ltaifa & Walid Khoufi, 2016. "Book to Market and Size as Determinants of Stock Returns of Banks: An Empirical Investigation from MENA Countries," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(4), pages 142-160, October.
    4. Said Elfakhani & Jason Wei, 2003. "The survivorship bias, share price effect, and small firm effect in Canadian markets," Review of Financial Economics, John Wiley & Sons, vol. 12(4), pages 397-411.
    5. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
    6. De Moor, Lieven & Sercu, Piet, 2011. "The smallest stocks are not just smaller: US and international evidence," Working Papers 2011/28, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    7. Daniel FS Choi & Victor Fang & Tian Yong Fu, 2009. "Volatility spillovers between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 1(2), pages 106117-1061, December.

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