This paper provides further international evidence that the well-known size effect, whereby firms with smaller equity capitalizations consistently generate higher stock returns on average, is not due to a general relation between expected stock return and actual firm size. Our empirical...

Some studies in the 1990s documented that book value of equity to market value of equity (BV/MV) and the market value of equity (MVE) capture the cross-sectional variation of stock returns in the U.S. market in the 1963-90 period. Other researchers argued, however, that two other variables - the...

This study is an investigation into the cross-sectional determinants of stock returns in a small market - the Athens Stock Exchange - where the Fama and French portfolio grouping procedure that is normally used to counter the error in variables problem in estimating beta is problematic due to...