In additional tests, we find that the spread volatility premium is largest in stocks with the smallest market capitalization and the highest book-to-market ratios
Fama and French (1998) conducted a study on the returns yielded by high book-to-market ratios
and low book-to-market ratios
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 ratios
5) The earnings-to-price and the book-to-market ratios
have an induced positive correlation due to the denominator of each measure being a positive function of the share price.
Higher book-to-market ratios
(undervalued firms) and higher variations in returns (riskier firms) appear to lead to larger increases in short interest.
We find that pro forma announcers tend to be relatively "young" firms that are concentrated primarily in the tech sector and business services industries, and that they are significantly less profitable, more liquid, and have higher debt levels, P-E ratios, and book-to-market ratios
than other firms in their own industries.
Beaver and Ryan (2000) argue that variation in book-to-market ratios
is a function of two components: biased accounting recognition and lagged accounting recognition.
Then, within each size quartile, firms are sorted evenly into quartiles based on their book-to-market ratios
First, we subdivide the sample into groups based on: 1) their book-to-market ratios
(B/MV), 2) the level of Tobin's Q, and 3) their magnitudes of free cash flow.
The authors also show that glamour winners -- positive surprise firms with a sequence of past positive earnings surprises, higher past trading volume, and low book-to-market ratios
-- exhibit faster price reversals.
Can one use insider trading data along with information on P/E ratios, book-to-market ratios
, momentum, or dividend yields to improve investment results?