Fama and French (1993) 三因子在学术界和业界影响深远,使得用 Book-to-Market Ratio(BM)来构建的 HML 因子被投资者熟知。然而,仅仅依据简单如 BM 这样的指标真的可以构建一个优秀的价值因子吗? 早在80 年前,Graham 和 Dodd 就提醒投资者不应该使用 Book Value 来衡量公司的内在价值。但随着因子投资的深入人...
book-to-market ratioreturn on equityTo explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model's zero explanatory ability with respect to stock market anomalies,we ...
BM ratio更适合学术研究,具有理论基础扎实、风险因子显著等优点。 值得一提的是,Book to Market Ratio (BM ratio) 的分子和分母倒过来就是 P/B ratio (市净率)。 BM ratio: Book Value (账面价值) / Market Value (市值)P/B ratio: Market Value (市值) / Book Value (账面价值)...
This shows that company risk impacts the BM ratio. Thus, the industry's special factors capture risk more effectively than BETA. Overall, ROE and BM do not correlate with BETA, and BM is less relevant to BETA. But BM and ROE are related, and BM will cause change in the ROE. This ...
This study focuses on international stock markets and re-examines whether the origins of the book-to-market ratio (BM), in terms of past changes in book equity and price, enhance the estimates of expected returns provided by BM alone. Examining all stocks, as well as subcategories of ...
Relation between distress risk, book-to-market ratio and return premium Purpose - Earlier research found that firms with the highest distress risk have low book-to-market (B/M) ratios and low returns. This paper aims to examine... Galagedera, Don U.A.,K Zaretzky,Kenton Zumwalt, J. -...
The main purpose of this study is to investigate the ability of price to earning and book-to-market ratios to predict future stock market returns in FTSEBM. A linear regression analysis is applied for this purpose. Findings reveal that book to market ratio significantly influences stock return,...
Firm Size, Book‐to‐Market Ratio, and Security Returns: A Holdout Sample of Financial Firms Fama and French (1992) document a significant relation between firm size, book-to-market ratios, and security returns for nonfinancial firms. Because of th... BM Barber,JD Lyon - 《Journal of ...
Using the Taiwan data covering from 1991 to 2006, we show that, after purging for the size and systematic risk premium, the BM effect only exists among those firms with low-R&D-to-sales ratio (RDS) essentially because these stocks suffer less from investors' underreaction to R&D investment. ...
Each year, six Size-BTM sorted portfolios areformed namely; Big-High (BH) portfolio which consist of stocks with big size and high BTMratio, Big-Medium (BM) portfolio which contains stocks with big size but medium BTMratio , Big-Low(BL) portfolio which consist of stocks with big size ...