firms in the Mexican Stock Exchange index. To select financial ratios, a sample of recommen-dation reports by equity analysts is studied. Unlike previous studies, our set of financial ratios iscomprehensive as it includes all categories of ratios used in practice by a group of sophisticatedfinancial users. Two sets of results are provided: (1) most preferred financial ratios by equityanalysts in Mexico, and (2) econometric tests on the relation of financial ratios and future stockreturns.