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

Listed author(s):
  • Maroney, Neal C.

    (University of New Orleans)

  • Protopapadakis, Aris A.

    (University of Southern California)

Registered author(s):

    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
    Handle: RePEc:uno:wpaper:1999-15
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