haku: @author Pontiff, J. / yhteensä: 4
viite: 3 / 4
Tekijä:Pontiff, J.
Schall, L. D.
Otsikko:Book-to-market ratios as predictors of market returns.
Lehti:Journal of Financial Economics
1998 : AUG, VOL. 49:2, p. 141-160
Asiasana:Bookkeeping
Cash flow
Market theory
Kieli:eng
Tiivistelmä: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.
SCIMA tietueen numero: 179478
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