The reliability of the book-to-market ratio as a risk proxy

Authors

  • Ralph R. Trecartin Jr. Department of Business & Economics, SUNY–Brockport, 350 New Campus Drive, Brockport, NY 14420, USA

DOI:

https://doi.org/10.1016/S1057-0810(01)00075-0

Keywords:

Portfolio performance, Contrarian strategy, Market efficiency, Risk Factors

Abstract

This study examines whether the book-to-market ratio consistently explains the cross-section of stock returns through time. The results reveal that the book-to-market ratio is positively and signif- icantly related to return in only 43% of the monthly regressions. Other value/growth variables such as Cash Flow,” “Sales Growth,” and “Size”; perform even more erratically than the book-to-market ratio, and are thus less likely to be viewed as legitimate risk proxies. © 2001 Elsevier Science Inc. All rights reserved.

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Published

2000-12-30

How to Cite

Trecartin, R. R. (2000). The reliability of the book-to-market ratio as a risk proxy. Financial Services Review, 9(4), 361–373. https://doi.org/10.1016/S1057-0810(01)00075-0

Issue

Vol. 9 No. 4 (2000): Financial Services Review

Section

New Original Submission

License

Copyright (c) 2000 Elsevier Science Inc.

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