Small Firm and Value Effects in the Canadian Stock Market
Posted: 20 Jul 1998
We examine the relation among average returns, market beta, firm size, and book-to-market value for Canadian stocks during the 1975-92 period. 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.
JEL Classification: G12
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