Book-to-Market Ratio

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Book-to-Market Ratio

A ratio of a publicly-traded company's book value to its market value. That is, the BTM is a comparison of a company's net asset value per share to its share price. This is a useful tool to help determine how the market prices a company relative to its actual worth. A ratio greater than one indicates an undervalued company, while a ratio less than one means a company is overvalued. Value managers seek out companies with high BTMs for their portfolios.
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7503), indicating that combining the book to market ratio (Var 21) with the financial factors (Var 3, Var 7, Var 17, Var 11 or Var 1, Var 7, Var 17, Var 15) for construction contractor default prediction increases the model performance.
Second, the improvements obtained from adding the book to market ratio (Var 21) in multivariate logit analysis are obvious in one year prediction (from AUC = 0.
Evidencias empiricas da relacao cross-section entre retorno e earnings to price ratio e book to market ratio no mercado de acoes no Brasil no periodo de 1995 a 1998.
Daniel and Titman (1997) find that firm specific measures of size and book to market ratio model returns better than the Fama and French factors.
2973) explain the motivation for using the book to market ratio as a proxy for a factor which affects expected returns by noting that the dividend per share is earnings per share less the change in book value per share.
In addition, we find that the fact that the definition of return contains the book to market ratio and market size (and thus the Fama and French (1993) mimicking factors) from two successive time periods offers a partial explanation for the well known serial correlation of returns (e.
Empirical model with five firm specific variables namely, book to market ratio, institutional neglect, average daily trading volume, debt-equity ratio, and operating profit ratio has been used to analyse the size effect.
Six variables used were beta, log of size (market capitalisation), earnings yield, cash earnings yield, dividend yield and book to market ratio.
However other researchers highlighted the danger of focusing exclusively on mean-beta space as the return generation process also depends on other variables like size, book to market ratio and earnings price ratio.
While the book to market phenomena are well accepted among researchers, Lev and Sougiannis (1999) examine book to market ratio effects as explained by R&D investment.
In our study, regression models are designed with RDM or RDA as additional independent variables in addition to other factor variables like market return, book to market ratio, and firm size.
Book-to-market is the book to market ratio measured approximately six months prior to the return date and SI is short interest from the month of the return calculated as cumulative shares short divided by shares outstanding during the same month (reported as a percentage).