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| Tekijä: | Loughran, T. |
| Otsikko: | Book-to-market across firm size, exchange, and seasonality: is there an effect? |
| Lehti: | Journal of Financial and Quantitative Analysis
1997 : SEP, VOL. 32:3, p. 249-268 |
| Asiasana: | COMPANIES MARKETS MANAGERS |
| Kieli: | eng |
| Tiivistelmä: | Fama and French report that size and the book-to-market ration capture the cross-sectional variation of average stock returns for the universe of NYSE, Amex, and Nasdaq securities. This paper, in providing an exhaustive exploration of book-to-market across the dimensions of firm size, exchange listing, and calendar seasonality, reports that Fama and French's empirical findings are driven by two features of the data: a January seasonal in the book-to-market effect, and exceptionally low returns on small, young, growth stocks. |
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