The Relationship between the Value Effect and Industry Affiliation

John C. Banko and C. Mitchell Conover
Additional contact information
John C. Banko: University of Central Florida
C. Mitchell Conover: E. Claiborne Robins School of Business, University of Richmond

Journal of Business, 2006, vol. 79, issue 5, pages 2595-2616

Abstract: We examine industry affiliation and the relationship between stock returns and book-to-market equity (the value effect). The robustness of the value effect is supported as a significant value premium is shown to exist in 15 of 21 industries. Both industry- and firm-level value effects are identified; however, the firm-level effect is the more prominent of the two. Further, the value effect is shown to be strongest in value industries and weakest in growth industries. Finally, we show evidence consistent with the claim that the value premium is due to investors requiring higher returns from firms in distressed conditions.

Date: 2006

Downloads: (external link)
http://www.journals.uchicago.edu/cgi-bin/resolve?JB790511 main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ucp:jnlbus:v:79:y:2006:i:5:p:2595-2616

Ordering information: This journal article can be ordered from
http://www.journals.uchicago.edu/JB/home.html

Access Statistics for this article

Journal of Business is edited by Albert Madansky

More articles in Journal of Business from University of Chicago Press
Address: The University of Chicago Press, Journals Division, P.O. Box 37005 Chicago, IL 60637
Series data maintained by Christopher F. Baum ().