Cole et al. (1996), by modifying the fi nancial accounting standard FAS106,* claimed that the dividend yield and market-to-book ratio are no longer valid indicators to predict the stock market value and reached the conclusion that the new ratios increased the predictability of index returns calculated with long time intervals. On the other hand, using a cross-sectional analysis with dividend yield ratio, P/E ratio, and P/B ratio, Fama and French (1992) found statistically signifi cant results in spite of a market risk control. More specifi cally, for the 1963-1990 period, size and book-to-market equity capture the cross-sectional variation in average stock returns controlled for size, E/P, book-to-market equity, and leverage. Similar results were obtained by Ferson and Harvey (1997) and Fama and French (1997) for developed markets and by Claessens et al. (1998), Patel (1998), and Rouwenhorst (1999) for emerging markets.