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

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Author Info
Maroney, Neal C. (University of New Orleans)
Protopapadakis, Aris A. (University of Southern California)
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.

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Paper provided by University of New Orleans, Department of Economics and Finance in its series Working Papers with number 1999-15.

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Length: 60 pages
Date of creation: 22 Nov 1999
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Handle: RePEc:uno:wpaper:1999-15

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Related research
Keywords: Book-to-market ratio; Market valuation;

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Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G30 - Financial Economics - - Corporate Finance and Governance - - - General

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