| Autor: |
Elfakhani, Said, Lockwood, Larry J., Zaher, Tarek S. |
| Předmět: |
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| Zdroj: |
Journal of Financial Research; Fall98, Vol. 21 Issue 3, p277, 15p |
| Abstrakt: |
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. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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