Behaviour of CAPM Anomalies in Smaller Firms: Australian Evidence

Don Anderson, Anthony Lynch and Nicholas Mathiou
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Don Anderson: Department of Commerce, University of Queensland, Australia.
Anthony Lynch: School of Accountancy, Queensland University of Technology, Australia.
Nicholas Mathiou: Department of Commerce, University of Queensland, Australia.

Australian Journal of Management, 1990, vol. 15, issue 1, 1-38

Abstract: This study considers the behaviour of the size, price earnings and book value anomalies in smaller firms. It does so by first separately, and then simultaneously, examining the effect of all three firm variables in the Australian stock market, where large firms are no bigger than the smaller firms in the United States. Of the three effects only the book value and (previously confirmed) small firm main effect, but not the P/E effect, is present for Australian stocks. This result suggests that the P/E effect reported in the U.S. literature may disappear in (very) small U.S. stocks. With regard to possible subsumptions and interactions between the effects, our results indicate, though inconclusively, that the small firm effect is driving the book value main effect.

Keywords: SMALL FIRMS; BOOK VALUE; EARNINGS-PRICE RATIO (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:15:y:1990:i:1:p:1-38

DOI: 10.1177/031289629001500101

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