PT  - JOURNAL ARTICLE
AU  - K. Victor Chow
AU  - Heather M. Hulburt
TI  - Value, Size, and Portfolio Efficiency
AID  - 10.3905/jpm.2000.319720
DP  - 2000 Apr 30
TA  - The Journal of Portfolio Management
PG  - 78--89
VI  - 26
IP  - 3
4099  - https://pm-research.com/content/26/3/78.short
4100  - https://pm-research.com/content/26/3/78.full
AB  - 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.