Firm Size, Book-to-Market Ratio, and Security Returns: A Holdout Sample of Financial Firms

Brad Barber and John D Lyon

Journal of Finance, 1997, vol. 52, issue 2, 875-83

Abstract: Fama and French (1992) document a significant relation between firm size, book-to-market ratios, and security returns for nonfinancial firms. Because of their initial interest in leverage as an explanatory variable for security returns, Fama and French exclude from their analysis financial firms, thus creating a natural holdout sample on which to test the robustness of their results. The authors document that the relation between firm size, book-to-market ratios, and security returns is similar for financial and nonfinancial firms. In addition, they present evidence that survivorship bias does not significantly affect the estimated size or book-to-market premiums in returns. The authors' results indicate data-snooping and selection biases do not explain the size and book-to-market patterns in returns. Copyright 1997 by American Finance Association.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (96)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819970 ... O%3B2-M&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

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: https://EconPapers.repec.org/RePEc:bla:jfinan:v:52:y:1997:i:2:p:875-83

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().