Elfakhani, Said; Lockwood, Larry J; Zaher, Tarek S - In: Journal of Financial Research 21 (1998) 3, pp. 277-91
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...