| Author: | Jensen, G. Johnson, R. Mercer, J. |
| Title: | New evidence on size and price-to-book effects in stock returns |
| Journal: | Financial Analysts' Journal
1997 : NOV-DEC, VOL. 53:6, p. 34-42 |
| Index terms: | FINANCIAL ANALYSIS STOCK RETURNS ECONOMICS |
| Language: | eng |
| Abstract: | Firm size and price-to-book-value ratio are prominent measures in explaining cross-sectional stock returns. Historically, average returns on shares of small capitalization firms and low price-to-book firms have exceeded those on large-capitalization firms and high price-to-book firms. Recent evidence also shows that monetary policy developments significantly explain security returns. When the authors considered the influence on stock returns of the Federal Reserve's policy stance, they found that the size and price-to-book effects depend largely on the monetary environment. |
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