Small Firm and Value Effects in the Canadian Stock Market
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.
Year of publication: |
1998
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Authors: | Elfakhani, Said ; Lockwood, Larry J ; Zaher, Tarek S |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 21.1998, 3, p. 277-91
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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