The book-to-market and size effects in a general asset pricing model: evidence from seven national markets

Neal Maroney and Aris Protopapadakis
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Neal Maroney: University of New Orleans
Aris Protopapadakis: University of Southern California

No 1999-15, Working Papers from University of New Orleans, Department of Economics and Finance

Abstract: We find a positive relation between returns and Book-to Market ratio (BE/ME) and a negative relation between returns and Market Value (MVE) in all the countries we study. The BE/ME and MVE "effects" are international in character and remain strong under a general stochastic pricing function that does not depend on a specific asset pricing model and avoids potentially serious simultaneity biases inherent in the Fama & French three-factor model. Finally, potentially important macro and financial variables that we add to the pricing functions do not offer an explanation of the BE/ME effect.

Keywords: Book-to-market ratio; Market valuation (search for similar items in EconPapers)
JEL-codes: G10 G12 G15 G30 (search for similar items in EconPapers)
Pages: 60 pages
Date: 1999-11-22
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