haku: @author Trombley, M. A. / yhteensä: 3
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| Tekijä: | Ali, A. Hwang, L.-S. Trombley, M. A. |
| Otsikko: | Arbitrage risk and the book-to-market anomaly |
| Lehti: | Journal of Financial Economics
2003 : AUG, VOL. 69:2, p. 355-373 |
| Asiasana: | Transaction costs Risk management Investors |
| Vapaa asiasana: | Book-to-market |
| Kieli: | eng |
| Tiivistelmä: | The paper shows that the book-to-market (B/M) effect is greater for stocks with higher idiosyncratic return volatility, higher transaction costs, and lower investor sophistication, consistent with the market-mispricing explanation for the anomaly. The B/M effect for high volatility exhibits significant incremental power beyond transaction costs and investor sophistication measures in explaining cross-sectional variation in the B/M effect. |
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