Value stocks and market efficiency

被引：0
|
作者：
Best R.J. [1 ]
Best R.W. [2 ]
Yoder J.A. [2 ]
机构：
[1] Department of Accounting and Finance, State University of West Georgia, Carrollton
来源：
Journal of Economics and Finance | 2000年 / 24卷 / 1期
关键词：
Stock Return; Stochastic Dominance; Return Distribution; Riskless Asset; Stock Portfolio;
D O I：
10.1007/BF02759693
中图分类号：
学科分类号：
摘要：
We form portfolios based on firm book-to-market equity ratios and apply stochastic dominance tests. Value (high bookto- market) portfolios dominate low book-to-market portfolios. Thus, value stocks are not rationally priced by the market and the book-to-market ratio is not an efficiently priced proxy for equity risk. We also find that the superior performance of value stocks is not due to the January effect.
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页码：28 / 35
页数：7
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