search query: @author Pontiff, J. / total: 4
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| Author: | Pontiff, J. Schall, L. D. |
| Title: | Book-to-market ratios as predictors of market returns. |
| Journal: | Journal of Financial Economics
1998 : AUG, VOL. 49:2, p. 141-160 |
| Index terms: | Bookkeeping Cash flow Market theory |
| Language: | eng |
| Abstract: | The book-to-market ratio of the Dow Jones industrial average predicts market returns and small firm excess returns over the period 1926-1994. The DJIA book-to-market ratio contains information about future returns that is not captured by other variables such as interest yield spreads and dividend yilds. The DJIA book-to-market ratio's predictive ability is specific to the pre-1960 sample. The S&P book-to-market ratio provides some predictive ability in the post-1960 period, although this relation is weaker than the Dow Jones pre-1960 findings. |
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