Abstract
In this article the authors examine the effects of book–to–market value (BE/ME) on portfolio selection and efficiency. The authors classify U.S. stocks into six value/size categories and generate a large number of random portfolios for each value/size category. Using a range of portfolio ranking criteria, they show that portfolios composed of high BE/ME stocks. Portfolios composed of high BE/ME stocks perform better than randomly selected portfolios. These results obtained for all ranking criteria and for all portfolio sizes examined.
- © 2000 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
