Small Firm and Value Effects in the Canadian Stock Market

Posted: 20 Jul 1998

See all articles by Said Elfakhani

Said Elfakhani

American University of Beirut - Olayan School of Business

Larry J. Lockwood

Texas Christian University

Tarek S. Zaher

Indiana State University - Scott College of Business

Abstract

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

Suggested Citation

Elfakhani, Said and Lockwood, Larry J. and Zaher, Tarek, Small Firm and Value Effects in the Canadian Stock Market. Available at SSRN: https://ssrn.com/abstract=89668

Said Elfakhani

American University of Beirut - Olayan School of Business ( email )

Bliss Street
Beirut 1107 2020
Lebanon

Larry J. Lockwood (Contact Author)

Texas Christian University ( email )

Fort Worth, TX 76129
United States
817-921-7420 (Phone)
817-921-7227 (Fax)

Tarek Zaher

Indiana State University - Scott College of Business ( email )

800 Sycamore Street
Terre Haute, IN 47809
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
1,120
PlumX Metrics