Book to Market

"...the return premia on small capitalization and high book-to-market stocks does not arise because of the comovements of these stocks with pervasive factors. It is the characteristics rather than the covariance structure of returns that appear to explain the cross-sectional variation in stock returns."

Daniel and Titman (1997)

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·        BARBER, B.M. and J.D. LYON, 1997. Firm Size, Book-to-Market Ratio, and Security Returns: A Holdout Sample of Financial Firms. JOURNAL OF FINANCE-NEW YORK-. 

·        BARBER, B.M. and J.D. LYON, 1997. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. Journal of Financial Economics. 

·        BARBER, B.M. and T. ODEAN, 2000. Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. The Journal of Finance. 

·        BARRY, C.B., et al., 1999. Size and Book-to-market Effects: Evidence from Emerging Equity Markets. 

·        BEAVER, W.H. and S.G. RYAN, 2000. … and Lags in Book Value and Their Effects on the Ability of the Book-to-Market Ratio to Predict Book …. JOURNAL OF ACCOUNTING RESEARCH.

·        BEAVER, W.H. and S.G. RYAN, 1993. Accounting Fundamentals of the Book-to-Market Ratio. FINANCIAL ANALYSTS JOURNAL.

·        BERK, J.B., 1995. A critique of size-related anomalies. Review of Financial Studies. 

·        BILLINGS, B.K. and R.M. MORTON, 2001. Book-to-Market Components, Future Security Returns, and Errors in Expected Future Earnings. Journal of Accounting Research. 

·        BLACK, F., 1972. Capital Market Equilibrium with Restricted Borrowing. Journal of Business.

·        BLACK, F., 1998. BETA AND RETURN. Streetwise: The Best of the Journal of Portfolio Management. 

·        BOYER, B.H., 2004. Style Investing and Comovement Among Stocks with Similar Book-to-Market Ratios. Unpublished working paper. Brigham Young University, Provo, …. 

·        BRAV, A., C. GECZY and P.A. GOMPERS, 2000. Is the abnormal return following equity issuances anomalous?. Journal of Financial Economics.

·        BREEN, W.J. and R.A. KORAJCZYK, 1993. On selection biases in book-to-market based tests of asset pricing models. 

·        CAPAUL, C., I. ROWLEY and W.F. SHARPE, 1993. International Value and Growth Stock Returns. FINANCIAL ANALYSTS JOURNAL.

·        CARHART, M.M., 1997. On Persistence in Mutual Fund Performance. JOURNAL OF FINANCE-NEW YORK-.

·        CHAN, K.C., 1988. On the Contrarian Investment Strategy. Journal of Business. 

·        CHAN, K.C. and N. CHEN, 1991. Structural and return characteristics of small and large firms. Journal of Finance.

·        CHAN, L.K.C., J. LAKONISHOK and T. SOUGIANNIS, 2001. The Stock Market Valuation of Research and Development Expenditures. The Journal of Finance. 

·        CHAN, L.K.C., Y. HAMAO and J. LAKONISHOK, 1991. Fundamentals and stock returns in Japan. Journal of Finance. 

·        CHUI, A.C.W. and K.C.J. WEI, 1998. Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging …. Pacific-Basin Finance Journal. 

·        COOPER, M.J., H. GULEN and M. VASSALOU, Investing in Size and Book-to-market Portfolios Using Information About the Macroeconomy: Some New …. papers.ssrn.com. 

·        CORE, J. and W. GUAY, 1999. The use of equity grants to manage optimal equity incentive levels. Journal of Accounting and Economics.

·        DANIEL, K. and S. TITMAN, 2006. Market Reactions to Tangible and Intangible Information. The Journal of Finance.

·        DANIEL, K. and S. TITMAN, 1998. Characteristics or Covariances?(Digest Summary). Journal of Portfolio Management.

·        DANIEL, K., et al., 1997. Measuring Mutual Fund Performance with Characteristic-Based Benchmarks. JOURNAL OF FINANCE-NEW YORK-. 

·        DANIEL, K., D. HIRSHLEIFER and A. SUBRAHMANYAM, 1998. Investor Psychology and Security Market Under-and Overreactions. The Journal of Finance. 

·        DANIEL, K., S. TITMAN and N.A.T.I.O.N.A.L. BUREAU, 2000. Market efficiency in an irrational world. CFA Institute. 

·        DATAR, V.T., N. Y. and R. RADCLIFFE, 1998. Liquidity and stock returns: An alternative test. Journal of Financial Markets. 

·        DAVIS, J.L., E.F. FAMA and K.R. FRENCH, 2000. Characteristics, Covariances, and Average Returns: 1929 to 1997. The Journal of Finance. 

·        DECHOW, P.M. and R.G. SLOAN, 1997. Returns to contrarian investment strategies: Tests of naive expectations hypotheses. Journal of Financial Economics. [Cited by 121] (10.60/year)

·        DENNIS, P., et al., 1995. The Effects of Rebalancing on Size and Book-to-Market Ratio Portfolio Returns. FINANCIAL ANALYSTS JOURNAL.

·        DICHEV, I.D., 1998. Is the Risk of Bankruptcy a Systematic Risk?. The Journal of Finance. 

·        DREW, M.E., T. NAUGHTON and M. VEERARAGHAVAN, 2003. Firm Size, Book-to-Market Equity and Security Returns: Evidence from the Shanghai Stock Exchange. Australian Journal of Management. 

·        DUNNE, P.G., 1999. Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application. International Review of Financial Analysis. 

·        FAMA, E.F., 1998. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics. 

·        FAMA, E.F., 1988. Stock Returns, Expected Returns, and Real Activity. ideas.repec.org.

·        FAMA, E.F. and J.D. MACBETH, 1973. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy.

·        FAMA, E.F. and K.R. FRENCH, 1992. The Economic Fundamentals of Size and Book-to-Market Equity. Unpublished working paper. University of Chicago. [Cited by 16] (0.97/year)

·        FAMA, E.F. and K.R. FRENCH, 1992. The cross-section of expected stock returns. Journal of Finance. 

·        FAMA, E.F. and K.R. FRENCH, 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 

·        FAMA, E.F. and K.R. FRENCH, 1996. Multifactor Explanations of Asset Pricing Anomalies. JOURNAL OF FINANCE-NEW YORK-. 

·        FAMA, E.F. and K.R. FRENCH, 1998. Value versus Growth: The International Evidence. The Journal of Finance. 

·        FAMA, E.F. and K.R. FRENCH, 1995. Size and Book-to-Market Factors in Earnings and Returns. JOURNAL OF FINANCE-NEW YORK-.

·        FRANKEL, R. and C.M.C. LEE, 1998. Accounting valuation, market expectation, and cross-sectional stock returns. Journal of Accounting and Economics. 

·        FRANKEL, R., C.M.C. LEE and N.Y.S. EXCHANGE, 1995. Accounting Valuation, Market Expectation, and the Book-to-market Effect. papers.ssrn.com.

·        GAUNT, C., 2004. Size and book to market effects and the Fama French three factor asset pricing model: evidence from …. Accounting and Finance. 

·        GIBBONS, M.R. and W.E. FERSON, 1984. Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio. ideas.repec.org.

·        GRIFFIN, J.M. and M.L. LEMMON, 2002. Book-to-Market Equity, Distress Risk, and Stock Returns. The Journal of Finance. 

·        GUTIERREZ, R., 2001. Book-to-Market Equity, Size, and the Segmentation of the Stock and Bond Markets. 

·        HAHN, J. and H. LEE, 2006. Yield Spreads as Alternative Risk Factors for Size and Book-to-Market. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS. 

·        HALLIWELL, J., R. HEANEY and J. SAWICKI, 1999. Size and Book to Market Effects in Australian Share Markets: A Time Series Analysis. Accounting Research Journal. 

·        HARRIS, R.S. and F.C. MARSTON, 1994. Value versus Growth Stocks: Book-to-Market, Growth, and Beta. FINANCIAL ANALYSTS JOURNAL.

·        IKENBERRY, D., J. LAKONISHOK and T. VERMAELEN, 1995. Market underreaction to open market share repurchases. Journal of Financial Economics.

·        JENSEN, G.R., R.R. JOHNSON and J.M. MERCER, 1997. New Evidence on Size and Price-to-Book Effects in Stock Returns. FINANCIAL ANALYSTS JOURNAL. [Cited by 29] (2.54/year)

·        JONES, C. and S.L. SLEZAK, 1999. The theoretical implications of asymmetric information on the dynamic and cross-sectional …. Manuscript. Chapel Hill: Univ. North Carolina. 

·        KELLY, P.J., Real and Inflationary Macroeconomic Risk in the Fama and French Size and Book-to-Market Portfolios. papers.ssrn.com. 

·        KIM, D., 1997. A Reexamination of Firm Size, Book-to-Market, and Earnings Price in the Cross-Section of Expected …. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS. 

·        KNEZ, P.J. and J. MARK, Ready, 1997, On the robustness of size and book-to-market in cross-sectional regressions. Journal of Finance.

·        KNEZ, P.J. and M.J. READY, 1997. On The Robustness of Size and Book-to-Market in Cross-Sectional Regressions. JOURNAL OF FINANCE-NEW YORK-. 

·       KOTHARI, S.P. and J. SHANKEN, 1997. Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics. 

·        KOTHARI, S.P. and J. SHANKEN, 1997. Book-to-market time series analysis. Journal of Financial Economics. 

·        LA, R., et al., 1995. Good News for Value Stocks: Further Evidence on Market Efficiency. NBER Working Paper. 

·        LAM, K.S.K., 2002. The relationship between size, book-to-market equity ratio, earnings-price ratio, and return for …. Global Finance Journal.

·        LEV, B. and T. SOUGIANNIS, 1999. Penetrating the Book-to-Market Black Box: The R&D Effect. Journal of Business Finance & Accounting. 

·        LEWELLEN, J., 1999. The time-series relations among expected return, risk, and book-to-market. Journal of Financial Economics. 

·        LIEW, J. and M. VASSALOU, 2000. Can book-to-market, size and momentum be risk factors that predict economic growth?. Journal of Financial Economics.

·        LIU, Q., How Good is Good News? Technology Depth, Book-to-Market Ratios, and Innovative Events. papers.ssrn.com. 

·        LOUGHRAN, T., 1997. Book-to-Market across Firm Size, Exchange, and Seasonality: is There an Effect?. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS. 

·        LOUGHRAN, T. and J.R. RITTER, 1995. The New Issues Puzzle. JOURNAL OF FINANCE-NEW YORK-.

·        LOUGHRAN, T. and J.R. RITTER, 2000. Uniformly least powerful tests of market efficiency. Journal of Financial Economics. 

·        MARONEY, N. and A. PROTOPAPADAKIS, 2002. The Book-to-Market and Size Effects in a General Asset Pricing Model: Evidence from Seven National …. European Finance Review. 

·        NAGEL, S., Short Sales, Institutional Investors, and the Book-to-market Effect. papers.ssrn.com. 

·        PONTIFF, J. and L. SCHALL, 1998. Book-to-market as a predictor of market returns. Journal of Financial Economics. 

·        PONTIFF, J. and L.D. SCHALL, 1998. Book-to-market ratios as predictors of market returns. Journal of Financial Economics. 

·        REINGANUM, M.R., 1981. Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market …. Journal of Financial Economics. [Cited by 544] 

·        RYAN, S.G., 2007. A Model of Accrual Measurement with Implications for the Evolution of the Book-to-Market Ratio.

·        SHEFRIN, H. and M. STATMAN, 1995. MAKING SENSE OF BETA, SIZE, AND BOOK-TO-MARKET. Journal of Portfolio Management. 

·       SHILLER, R.J., From Efficient Market Theory to Behavioral Finance. papers.ssrn.com.

·        SHLEIFER, A. and R.W. VISHNY, 2003. Stock market driven acquisitions. Journal of Financial Economics. 

·        SHLEIFER, A. and R.W. VISHNY, 1997. The Limits of Arbitrage. JOURNAL OF FINANCE-NEW YORK-.

·        SHUMWAY, T., Ann Arbor. Size, Overreaction, and Book-to-Market Effects as Default Premia. 

·        SPIESS, D.K. and J. AFFLECK-GRAVES, 1995. Underperformance in long-run stock returns following seasoned equity offerings. Journal of Financial Economics. 

·        TEOH, S.H., I. WELCH and T.J. WONG, 1998. Earnings Management and the Long-Run Market Performance of Initial Public Offerings. The Journal of Finance.

·        TITMAN, S., K.C.J. WEI and F. XIE, 2004. Capital Investments and Stock Returns (Digest Summary). Journal of Financial and Quantitative Analysis. 

·        VUOLTEENAHO, T., 2000. Understanding the aggregate book-to-market ratio and its implications to current equity-premium …. Unpublished paper, Harvard University.

·        VUOLTEENAHO, T., Understanding the Aggregate Book-to-Market Ratio. papers.ssrn.com. 

·        WANG, X., 2000. Size effect, book-to-market effect, and survival. Journal of Multinational Financial Management.