%0 Journal Article %A K. Victor Chow %A Heather M. Hulburt %T Value, Size, and Portfolio Efficiency %D 2000 %R 10.3905/jpm.2000.319720 %J The Journal of Portfolio Management %P 78-89 %V 26 %N 3 %X 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. %U https://jpm.pm-research.com/content/iijpormgmt/26/3/78.full.pdf