MAKING SENSE OF BETA, SIZE, AND BOOK-TO-MARKET

被引:42
|
作者
SHEFRIN, H
STATMAN, M
机构
来源
JOURNAL OF PORTFOLIO MANAGEMENT | 1995年 / 21卷 / 02期
关键词
D O I
10.3905/jpm.1995.409506
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:26 / 34
页数:9
相关论文
共 50 条
  • [31] Book-to-Market Ratio and Skewness of Stock Returns
    Zhang, Xiao-Jun
    ACCOUNTING REVIEW, 2013, 88 (06): : 2213 - 2240
  • [32] The Book-to-Market Anomaly in the Chinese Stock Markets
    Ho, Kin-Yip
    An, Jiyoun
    Zhou, Lanyue
    JOURNAL OF EAST ASIAN ECONOMIC INTEGRATION, 2015, 19 (03): : 223 - 241
  • [33] Book-to-market effect and product life cycle
    Hu, Ming-Che
    Huang, Alex YiHou
    Wang, Yanzhi
    Yu, Dan-Liou
    REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, 2024, 63 (02) : 551 - 577
  • [34] Can tail risk explain size, book-to-market, momentum, and idiosyncratic volatility anomalies?
    Aboura, Sofiane
    Arisoy, Y. Eser
    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, 2019, 46 (9-10) : 1263 - 1298
  • [35] Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms
    Barber, BM
    Lyon, JD
    JOURNAL OF FINANCE, 1997, 52 (02): : 875 - 883
  • [36] Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior
    Gunathilaka, Chandana
    Jais, Mohamad
    Balia, Sophee Sulong
    Abidin, Azian Zaino
    Manaf, Kamarul Bahrain Abdul
    ADVANCED SCIENCE LETTERS, 2017, 23 (01) : 15 - 19
  • [37] Do relative leverage and relative distress really explain size and book-to-market anomalies?
    Chou, Pin-Huang
    Ko, Kuan-Cheng
    Lin, Shinn-Juh
    JOURNAL OF FINANCIAL MARKETS, 2010, 13 (01) : 77 - 100
  • [38] THE ABSENCE OF THE BOOK-TO-MARKET EFFECT IN THE TAIWAN STOCK MARKET: A DECOMPOSITION APPROACH
    Chiao, Chaoshin
    Hung, Weifeng
    Yao, Chun
    JAPANESE ECONOMIC REVIEW, 2010, 61 (02) : 289 - 299
  • [39] Overreaction after controlling for size and book-to-market effects and its mimicking portfolio in Japan
    Chiao C.
    Cheng D.C.
    Hung W.
    Review of Quantitative Finance and Accounting, 2005, 24 (1) : 65 - 91
  • [40] Accounting valuation, market expectation, and the book-to-market effect.
    Frankel, R
    Lee, CMC
    JOURNAL OF FINANCE, 1996, 51 (03): : 1040 - 1041