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Dimension and book-to-market ratio again the english case
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Orientador(es)
Resumo(s)
Using the Fama-French Model (1993) Daniel and Titman (1997) show that size and book-to-market effects cannot be understood as distress factor proxies, but as characteristics that explain the cross section variation in stock returns. Davis et al. (2000) refute these results using a different set of data. While addressing this question, we have found unexpected evidence against the Fama-French Model in the UK market and challenging results regarding the size and book-to-market effects in both the UK and USA. Our findings, at the very least, suggest a bad CAPM specification and, at most, suggest that financial markets are not efficient.
Descrição
Palavras-chave
Behavioural Finance Size Effect Book-to-Market Effect CAPM Efficient Market Hypothesis Financial Investments
Contexto Educativo
Citação
Vieira, Pedro Rino e José Azevedo Pereira . 2006. "Dimension and book-to-market ratio again the english case". Instituto Superior de Economia e Gestão. Departamento de Gestão. Working papers series nº 5-06.