Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets

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132 Citations (Scopus)


This paper investigates the relationship between expected stock returns and market beta, book-to-market equity, and size in five Pacific-Basin emerging markets: Hong Kong, Korea, Malaysia, Taiwan, and Thailand. In all the markets examined, the relationship between average stock return and market beta is weak. On the other hand, the book-to-market equity can explain the cross-sectional variation of expected stock returns in Hong Kong, Korea, and Malaysia, while the size effect is significant in all markets except Taiwan. Interestingly, the degree of the relation between average return and book-to-market equity coincides with the magnitude of the average book-to-market ratio in a country. We also find that large firms in Hong Kong and small firms in Korea have experienced higher returns in January. We argue that the different pattern of the 'turn-of-the-year' effect between Hong Kong and Korea may be attributed to a different composition of investors. The majority of investors in Hong Kong are foreign institutional investors, while investors in Korea are mainly individuals.
Original languageEnglish
Pages (from-to)275-293
Number of pages19
JournalPacific Basin Finance Journal
Issue number3-4
Publication statusPublished - 1 Aug 1998


  • Book-to-market equity
  • Cross-section of expected stock returns
  • Firm size
  • Pacific-Basin emerging markets
  • Turn-of-the-year effect

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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