{"title":"账面市值比率作为风险指标的可靠性","authors":"Ralph R. Trecartin Jr.","doi":"10.1016/S1057-0810(01)00075-0","DOIUrl":null,"url":null,"abstract":"<div><p>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 significantly 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.</p></div>","PeriodicalId":100530,"journal":{"name":"Financial Services Review","volume":"9 4","pages":"Pages 361-373"},"PeriodicalIF":0.0000,"publicationDate":"2001-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S1057-0810(01)00075-0","citationCount":"16","resultStr":"{\"title\":\"The reliability of the book-to-market ratio as a risk proxy\",\"authors\":\"Ralph R. Trecartin Jr.\",\"doi\":\"10.1016/S1057-0810(01)00075-0\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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 significantly 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.</p></div>\",\"PeriodicalId\":100530,\"journal\":{\"name\":\"Financial Services Review\",\"volume\":\"9 4\",\"pages\":\"Pages 361-373\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2001-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/S1057-0810(01)00075-0\",\"citationCount\":\"16\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Services Review\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1057081001000750\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Services Review","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057081001000750","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The reliability of the book-to-market ratio as a risk proxy
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 significantly 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.
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