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| Author: | Maroney, N. Protopapadakis, A. |
| Title: | The book-to-market and size effects in a general asset pricing model: evidence from seven national markets |
| Journal: | European Finance Review
2002 : VOL. 6:2, p. 189-221 |
| Index terms: | Asset valuation Pricing Stock returns |
| Language: | eng |
| Abstract: | The positive relation of returns with book-to-market ratio (BE/ME) and their negative relation with market value (MVE) remains strong under a general stochastic discount function (SDF) that does not depend on a specific asset pricing model and avoids potentially serious simultaneity biases inherent in the Fama and French three-factor model. However, it is found in this study that SDFs that include the equivalent of the HML portfolio do not span all asset sub-spaces, even with additional conditioning information. |
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