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

Dimitrios Kousenidis (), Christos Negakis and Iordanis Floropoulos

European Accounting Review, 2000, vol. 9, issue 2, 225-243

Abstract: 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.

Date: 2000
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DOI: 10.1080/09638180050129882

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