This study considers the behaviour of the size, price earnings and book value anomalies in smaller firms. It does so by first separately, and then simultaneously, examining the effect of all three firm variables in the Australian stock market, where large firms are no bigger than the smaller firms in the United States. Of the three effects only the book value and (previously confirmed) small firm main effect, but not the P/E effect, is present for Australian stocks. This result suggests that the P/E effect reported in the U.S. literature may disappear in (very) small U.S. stocks. With regard to possible subsumptions and interactions between the effects, our results indicate, though inconclusively, that the small firm effect is driving the book value main effect.
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