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Size and value effects in Suriname

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  • Bodeutsch, D.S.
  • Franses, Ph.H.B.F.

Abstract

__Abstract__ This paper studies the link between stock returns and size and book-to-market equity effects for 10 companies listed at the Suriname Stock Exchange. We analyze the cross-sectional variation in average returns and we find that there is apparently no size effect, but there is a value effect. The findings are broadly in line with those for other emerging markets documented in the literature.

Suggested Citation

  • Bodeutsch, D.S. & Franses, Ph.H.B.F., 2013. "Size and value effects in Suriname," Econometric Institute Research Papers EI 2013-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:50132
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    References listed on IDEAS

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    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
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    3. Eugene F. Fama & Kenneth R. French, 1998. "Value versus Growth: The International Evidence," Journal of Finance, American Finance Association, vol. 53(6), pages 1975-1999, December.
    4. Magdalena Morgese Borys & Petr ZemÄÂik, 2011. "Size and Value Effects in the Visegrad Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(3), pages 50-68, May.
    5. Basu, Sanjoy, 1983. "The relationship between earnings' yield, market value and return for NYSE common stocks : Further evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 129-156, June.
    6. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    7. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
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    Cited by:

    1. Denice Bodeutsch & Philip Hans Franses, 2016. "Risk Attitudes In The Board Room And Company Performance: Evidence For An Emerging Economy," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 1-14, December.
    2. Ruan, Qingsong & Yang, Bingchan, 2017. "The effects of common risk factors on stock returns: A detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 362-374.
    3. French, Joseph J. & Taborda, Rodrigo, 2018. "Disentangling the relationship between liquidity and returns in Latin America," Global Finance Journal, Elsevier, vol. 36(C), pages 23-40.

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    More about this item

    Keywords

    stock returns; emerging markets; market capitalization; book-to-market equity effects; Fama-French regression; Suriname;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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