Fama and French (1992)--hereafter F&F--and Jegadeesh and Titman (1993) convincingly summarized the evidence that "diversifiable" individual characteristics, like book-to-market
, size and momentum, could capture important cross-sectional variation in average stock returns.
I study the influence of takeover activity on common factors, size and book-to-market
In any event, assuming these two value approaches imply very different portfolios, the Research Affiliates paper tests a Eugene Portfolio that is long risky stocks and short safe stocks, but which is indifferent to book-to-market
The value coefficient is positive for all high book-to-market
No modelo de multifatores de Fama e French (1996), que sera utilizado aqui, as carteiras sao formadas a partir de duas variaveis contabeis: tamanho da empresa e seu book-to-market
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"
In general institutional lenders perceive small and high book-to-market
borrowers as systematically riskier than larger borrowers with low book-to-market
ratios, consistent with the asset pricing approach in Fama and French (1993).
In order to identify the major risk factors in pricing industrial stocks, this study estimates different models based on six explanatory factors: the overall stock market, size, book-to-market
equity ratio, the term structure, default risk, and the unsecuritized real estate market.
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.
Other studies have shown book-to-market
equity (Rosenberg, Reid and Lanstein, 1985; Fama and French 1992) and the cash flow/price ratio (Chan, Hamao and Lakonishok, 1991) to have predictive ability for stock returns.
Os autores concluiram que o CAPM na sua forma condicional nao apresentou ganho significativo na explicacao das carteiras baseadas na anomalias tamanho, book-to-market
e momento em relacao a forma estatica.
There is abundant research documenting the robustness of book-to-market
values of equity in explaining stock returns.