The Relationship between Components of the Book to Market Ratio and Stock Returns

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DAVALLOU MARYAM; Rezaei Sayyed Mahdi

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2019 | Volume:6 | Issue:4 (23) Page(s): 29-60

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Title

The Relationship between Components of the Book to Market Ratio and Stock Returns

Author(s)

DAVALLOU MARYAM | Rezaei Sayyed Mahdi | Issue Writer Certificate

Keywords

The book to market ratio decompositionQ1

change in book equityQ1

change in market priceQ1

Abstract

The book-to-market ratio (B/M) is a noisy measure of expected stock returns because it also varies with expected cashflows evolution of B/M, in terms of past changes in book equity and price, contains independent information about expected cashflows that can be used to improve estimates of expected returns. This study examines the impact of the components of the book to market ratio on the explanatory power of stock returns. To this end, a sample of 185 companies listed in Tehran Stock Exchange during 1384 to 1393 were studied. To examine the explanatory power of stock returns by components of the B/M ratio, Fama and Macbeth regression (1973) and portfolio analysis approach are used. The results show that this improvement comes mainly from the change in price, against the results of other countries, and not from the change in book equity

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APA: Copy

DAVALLOU, MARYAM, & Rezaei, Sayyed Mahdi. (2019). The Relationship between Components of the Book to Market Ratio and Stock Returns. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 6(4 (23) ), 29-60. SID. https://sid.ir/paper/261691/en

Vancouver: Copy

DAVALLOU MARYAM, Rezaei Sayyed Mahdi. The Relationship between Components of the Book to Market Ratio and Stock Returns. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2019;6(4 (23) ):29-60. Available from: https://sid.ir/paper/261691/en

IEEE: Copy

MARYAM DAVALLOU, and Sayyed Mahdi Rezaei, “The Relationship between Components of the Book to Market Ratio and Stock Returns,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 6, no. 4 (23) , pp. 29–60, 2019, [Online]. Available: https://sid.ir/paper/261691/en

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