There is still no consensus on whether small firm or value stock anomalies exist. We examine the last half of the 20th century and apply a six-factor macroeconomic model to test for the presence of these abnormal returns. Using four proxies for value, we find that detecting this anomaly is...

In this study we re-examine the presence of random walk in stock prices in Brazil and Mexico. We employ variance ratio tests on weekly stock returns for indexes as well as individual firms. The results reveal mean aversion in Mexico at both the index and firm level. In contrast, the Brazil...