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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The variables include turnover rate, Idiosyncratic risk, percentage of zero volume days, size and book to market ratio.
where SYNCH is the stock price synchronicity for the firm i for time t, Liquidity is the Liquidity of stock for the firm i for time t, Liquidity is the Liquidity of stock for the firm i for time t, Illiquidity is the Illiquidity of stock for the firm i for time t, Idy vol is the Idiosyncratic risk of stock for the firm i for time t, Size is the size of the firm i for time t, BTM is the Book to market ratio of the firm i for time t, Dt is Dummy of Global financial crisis for time t, [[alpha].
The investment depended on sales and book to market ratio during the crisis (2008-2013).
Keywords: investment, capital expenditure, book to market ratio, sales
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.
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.
Based on these observations, the Fama French Three Factor Model asserts that the expected return on a portfolio in excess of the risk free rate is explained by the sensitivity of its return to three factors: (1) the excess return on a broad market portfolio, (2) the difference between the return on a portfolio of small capitalization stocks, and (3) the return on a portfolio of big capitalization stocks and the difference between the return on a portfolio of high book to market ratio stocks and the return on a portfolio of low book to market ratio stocks, thus adding two new factors: the firm size and the value effect.
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.
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.
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.
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).