Firm size and book-to-market equity on behavior of stock returns

Abstract

The aim of this paper is to examine the behaviour of stock returns of Sri Lankan companies with respect to two popularly known firm level characteristics: firm size and book-to-market equity, employing multi factor model for the period span from 2007 to 2011.Empirical findings from multiple regression analysis reveal that book-to-market equity has positive role in behavior of stock returns while firm size has expected negative direction in behavior of stock returns and not significant.