During the 1979–91 period, the sales–price ratio and the debt–equity ratio had greater explanatory power for stock returns than either the book–market value of equity ratio or the market value of equity. Furthermore, the sales–price ratio captures the role of the debt–equity ratio in explaining stock returns. Neither the book–market value of equity ratio nor the market value of equity has consistent explanatory power for stock returns, and the sales–price ratio is a more reliable explanatory factor.