The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?
Open accessAbstract
Fama and French (1992) report that size and the book-to-market ratio capture the cross-sectional variation of average stock returns for the universe of NYSE, Amex, and Nasdaq securities. This paper, in providing an exhaustive exploration of book-to-market across the dimensions of firm size, exchange listing, and calendar seasonally, reports that Fama and French's empirical findings are driven by two features of the data: a January seasonal in the book-to-market effect, and exceptionally low returns on small, young, growth stocks. In the largest size quintile of all firms (accounting for 73% of the total market value of all publicly traded firms), book-to-market has no significant explanatory power on the cross-section of realized returns during the 1963–1995 period. Thus, book-to-market as such would have less importance to money managers than the literature would have led us to believe.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Cited by
A five-factor asset pricing model
Fama, E. F., & French, K. R. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.10.010 · Cited by 7,852
Improved Methods for Tests of Long‐Run Abnormal Stock Returns
Lyon, J. D., Barber, B. M., & Tsai, C. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00101 · Cited by 1,828
Size, value, and momentum in international stock returns
Fama, E. F., & French, K. R. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.05.011 · Cited by 1,767
Metadata
- Authors
- Loughran, T.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1997-09
- Volume
- 32
- Issue
- 3
- Pages
- 249
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W1989652734
- Cited by
- 365
- References
- 1
- FWCI
- 22.60
- Type
- journal article
- Language
- en
- Open access
- green
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