Size-related regularities can be explained by riskiness and should not be regarded as anomalies. This article provides evidence that market value of equity reflects information about risk. Using data from the Japanese stock market, we found that among companies with similar cash flows, the companies with riskier cash flows had lower market values and higher expected returns. This role of market value of equity is strong over time and significant even when market beta estimates are considered. We also found, contrary to a “size effect,” a positive relationship between measures of physical size and returns.