Publicação
Dimension and book-to-market ratio again the english case
| dc.contributor.author | Vieira, Pedro Rino | |
| dc.contributor.author | Pereira, José Azevedo | |
| dc.date.accessioned | 2010-08-26T10:28:54Z | |
| dc.date.available | 2010-08-26T10:28:54Z | |
| dc.date.issued | 2006-09 | |
| dc.description.abstract | 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. | por |
| dc.identifier.citation | 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. | por |
| dc.identifier.issn | 0874-8470 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/2259 | |
| dc.language.iso | eng | por |
| dc.publisher | ISEG – Departamento de Gestão | por |
| dc.relation.ispartofseries | DG /Working papers series nº 5-06. | |
| dc.relation.publisherversion | http://www.iseg.utl.pt/departamentos/gestao/wp/N5_2006.pdf | por |
| dc.subject | Behavioural Finance | por |
| dc.subject | Size Effect | por |
| dc.subject | Book-to-Market Effect | por |
| dc.subject | CAPM | por |
| dc.subject | Efficient Market Hypothesis | por |
| dc.subject | Financial Investments | por |
| dc.title | Dimension and book-to-market ratio again the english case | por |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | workingPaper | por |