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Why does book-to-market value of equity forecast cross-section stock returns?

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  • Bulkley, George
  • Harris, Richard D. F.
  • Herrerias, Renata

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  • Bulkley, George & Harris, Richard D. F. & Herrerias, Renata, 2004. "Why does book-to-market value of equity forecast cross-section stock returns?," International Review of Financial Analysis, Elsevier, vol. 13(2), pages 153-160.
    • Handle: RePEc:eee:finana:v:13:y:2004:i:2:p:153-160
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    1. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-1395, November.
    2. Davis, James L, 1994. "The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence," Journal of Finance, American Finance Association, vol. 49(5), pages 1579-1593, December.
    3. Berk, Jonathan B, 1995. "A Critique of Size-Related Anomalies," The Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 275-286.
    4. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    5. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
    6. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
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    Cited by:

    1. Buddelmeyer, Hielke & Jensen, Paul H. & Oguzoglu, Umut & Webster, Elizabeth, 2008. "Fixed Effects Bias in Panel Data Estimators," IZA Discussion Papers 3487, Institute of Labor Economics (IZA).
    2. Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
    3. Natalia Mokhova & Marek Zinecker, 2016. "Corporate Negative Equity: The Evidence from the European Union," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(3), pages 1021-1036.

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