Size and book-to-market factors in the relationship between average stock returns and average book returns: some evidence from an emerging market

• Autores: D. V. Kousenidis, C. I. Negakis, Iordanis N. Floropoulos
• Localización: European accounting review, ISSN 0963-8180, Vol. 9, Nº 2, 2000, págs. 225-243
• Idioma: inglés
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• Resumen

  • The present paper examines the association between average stock returns and average book returns and addresses the question as to whether there are common size and book-to-market factors in earnings and returns. The results of the empirical research, conducted in the Athens Stock Exchange, suggest that when the sample firms are grouped into size, book-to-market portfolios stock returns properly reflect differences in the evolution of accounting profitability. Moreover, it is found that the return on investment (ROI) measure contains size and book-to-market factors analogous to the mimic risk factors inherent in stock returns, in the sense that they capture information missed by ROI.