Book-to-market and size as determinants of returns in small illiquid markets

the New Zealand case

Authors

  • John F. Pinfold Department of Commerce, Massey University, Private Bag 102904, North Shore MSC, Auckland, New Zealand
  • William R. Wilson Department of Commerce, Massey University, Private Bag 102904, North Shore MSC, Auckland, New Zealand
  • Qiuli Li Department of Commerce, Massey University, Private Bag 102904, North Shore MSC, Auckland, New Zealand

DOI:

https://doi.org/10.1016/S1057-0810(02)00088-4

Keywords:

Equity return, Book-to-market, Size effect

Abstract

The paper highlights the difficulties in adopting investment strategies designed to exploit book-to- market and size effects on the New Zealand share market, which is small and illiquid by world standards. The small number of suitable companies listed on the market, and the high return volatility of individual equities make it difficult to reliably achieve superior returns. Excess returns due to size and book-to-market are highly volatile on a period-by-period basis due to the high volatility of individual shares combined with small portfolio size, which limits diversi®cation. Copyright 2001 Elsevier Science Inc. All rights reserved.

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Published

2001-12-30

How to Cite

Pinfold, J. F., Wilson, W. R., & Li, Q. (2001). Book-to-market and size as determinants of returns in small illiquid markets: the New Zealand case. Financial Services Review, 10(1-4), 291–302. https://doi.org/10.1016/S1057-0810(02)00088-4

Issue

Vol. 10 No. 1-4 (2001): Financial Services Review

Section

New Original Submission

License

Copyright (c) 2001 Elsevier Science Inc.

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