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Small Firm and Value Effects in the Canadian Stock Market


  • Elfakhani, Said
  • Lockwood, Larry J
  • Zaher, Tarek S


We 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.

Suggested Citation

  • Elfakhani, Said & Lockwood, Larry J & Zaher, Tarek S, 1998. "Small Firm and Value Effects in the Canadian Stock Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(3), pages 277-291, Fall.
  • Handle: RePEc:bla:jfnres:v:21:y:1998:i:3:p:277-91

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    Cited by:

    1. 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.
    2. 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.
    3. Chaoshin Chiao & Weifeng Hung & Chun Yao, 2010. "The Absence Of The Book-To-Market Effect In The Taiwan Stock Market: A Decomposition Approach," The Japanese Economic Review, Japanese Economic Association, vol. 61(2), pages 289-299.
    4. repec:spr:infosf:v:5:y:2003:i:3:d:10.1023_a:1025649311259 is not listed on IDEAS
    5. 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.
    6. Rochon, Mathieu & Desrosiers, Stéphanie & L’Her, Jean-François, 2004. "Révision à la baisse de la prime sur les actions au Canada," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(1), pages 137-170, Mars.
    7. 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.
    8. 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.

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