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- W259532887 abstract "Fama and French (1992) report that size and the book-to-market ratio capture the cross-sectional variation of average stock returns for the universe of NYSE, Amex, and Nasdaq securities during the 1963-1990 period. This paper reports that Fama and French's empirical findings are driven by two features of the data: (i) a January seasonal in the book-to-market effect, and (ii) low returns on Amex and Nasdaq growth stocks. In the largest size quintile of all firms (accounting for 73 percent of the total market value of all publicly traded firms), book-to-market has no significant explanatory power on the cross-section of realized returns. For the majority of money managers, the empirical findings of Fama and French are of little economic importance for predicting future portfolio returns." @default.
- W259532887 created "2016-06-24" @default.
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- W259532887 date "1996-01-25" @default.
- W259532887 modified "2023-09-26" @default.
- W259532887 title "Is There a Book-to-Market Effect?" @default.
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