RT Journal Article SR Electronic T1 Value, Size, and Portfolio Efficiency JF The Journal of Portfolio Management FD Institutional Investor Journals SP 78 OP 89 DO 10.3905/jpm.2000.319720 VO 26 IS 3 A1 K. Victor Chow A1 Heather M. Hulburt YR 2000 UL https://pm-research.com/content/26/3/78.abstract 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.