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Behaviour of CAPM Anomalies in Smaller Firms: Australian Evidence

Author

Listed:
  • 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.)

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.

Suggested Citation

  • Don Anderson & Anthony Lynch & Nicholas Mathiou, 1990. "Behaviour of CAPM Anomalies in Smaller Firms: Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 1-38, June.
    • Handle: RePEc:sae:ausman:v:15:y:1990:i:1:p:1-38
    DOI: 10.1177/031289629001500101
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    References listed on IDEAS

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    2. Chan, Howard W.H. & Brown, Rob & Ho, Yew Kee, 2006. "Initiation of brokers' recommendations, market predictors and stock returns," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 213-231, July.
    3. Philip Gharghori & Ronald Lee & Madhu Veeraraghavan, 2009. "Anomalies and stock returns: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 555-576, September.
    4. Lien Duong & Izan H. Y. Izan, 2012. "Consequences of Riding Takeover Waves: A ustralian Evidence," International Review of Finance, International Review of Finance Ltd., vol. 12(4), pages 399-434, December.

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