Is Sales Growth Associated with Market, Size and Value Factors in Returns? Evidence from Athens Stock Exchange (1998-2003)

Abstract

This article investigates whether past sales growth of a firm is associated with market, size and value factors in returns so it can be inferred that this fundamental variable is related to size and book-to-market equity that help capture the cross-section of average stock returns in the Athens stock exchange during the period 1998-2003.The findings of the study provide supportive evidence that past sales growth of a firm is associated with market, size and value factors in returns so it can be inferred that this fundamental variable is related to size and book-to-market equity that help capture the cross-section of average stock returns in Athens Stock Exchange. Several unanswered questions arise from this study such as: (i) what are the underlying economic state variables that produce variation in earnings and returns related to size and BE/ME? (ii) do these unnamed state variables produce variation in consumption and wealth that is not captured by an overall market factor and so can explain the risk premiums in returns associated with size and BE/ME?Sales growth; market; value factors in returns