Table 1: Summary of industry monthly returns, book-to-market equity and investor sentiment Mean Std.
Book-to-market across firm size, exchange, and seasonality: is there an effect?
00 IND = (monthly value-weighted returns for industrial stocks) - (treasury-bill return rate); MKT = NYSE/ASE/NASDAQ monthly value-weighted returns) - (treasury-bill return rate); SMB (small minus big) = monthly retuns on the mimicking porfolio for the common size factor; HML (high minus low) = monthly return on the mimicking porfolio for the common book-to-market equity factor; TERM = (monthly returns on long-term government bonds) - (treasury-bill return rate); DEF = (monthly returns on long-term corporate bonds) - (monthly returns on long-term government bonds); HPRICE = (monthly percentage changes in the median sales price index of new houses sold) - (treasury-bill return rate); C.
These results indicate that the stock market, real estate market, book-to-market, size, and maturity factors capture the strong variation in excess returns for industrial stocks.
And when the field of companies is reduced to just those with a low book-to-market
ratio, those companies outperformed their peers by 45 percent in four years, said David Ikenberry, a finance professor at Rice University in Texas and co-author of ``Market Underreaction To Open Market Share Repurchases.
We also examine a measure of market capitalization, orthogonalized to book-to-market
by a univariate regression, in our analysis and find very similar results.
Shefrin and Statman (2002) use an ordinal ranking of recommendations as their proxy for expected returns and relate them to firm characteristics such as book-to-market
and market capitalization.
Lynch examines portfolio allocation across equity portfolios formed according to size, book-to-market
value, and the like.
Although acquiring firm shareholders respond favorably to high-tech takeover announcements, these acquirers generally underperform industry-matched benchmarks and size- and book-to-market
matched control portfolios in the long run.
Size and book-to-market
factors in earnings and returns, Journal of Finance, 50, 131-156.
Our regression model includes variables like, whether stock is in the option category or not, the market capitalisation of the firm, book-to-market
ratio, average trading volume, promoters' stock holdings and total institutional holdings.
Gerard Hoberg, University of Maryland, and Ivo Welch, Brown University and NBER, "Better Factor Portfolios and Pricing Book-to-Market
Characteristics with the Fama-French Factor Model"