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| Author: | Dennis, P. |
| Title: | The effects of rebalancing on size and book-to-market ratio portfolio returns |
| Journal: | Financial Analysts' Journal
1995 : MAY-JUN, VOL. 51:3, p. 47-56 |
| Index terms: | INVESTMENT SECURITIES SMALL BUSINESS |
| Language: | eng |
| Abstract: | After adjusting for transaction costs and different rebalancing periods, portfolios of securities selected on the basis of the issuing firm's book-to-market-equity (BE/ME) ratio and size can produce returns superior to those of the market. Specifically, after adjusting for 1.0 percent transaction costs and annual rebalancing, investors would have outperformed the market by 4.82 percent over the 1963-88 period if they had invested in securities from firms with high BE/MEs and small size. |
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