Book-to-market ratio and returns on the JSE

Date
2006
Authors
Auret, CJ
Sinclaire, RA
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor and Francis
Abstract
Many firm-specific attributes or characteristics are understood to be proxies for what Fama and French (1992: p428) refer to as “the unnamed sources of risk”. Perhaps the most notorious of these is the size of the firm or its market value, first documented by Banz (1981). The relationship between size and average returns has become known as the “size effect”.
Description
Keywords
Johannesburg Stock Exchange , Book-to-Market Ratio
Citation
Auret, C. J., & Sinclaire, R. A. (2006). Book-to-market ratio and returns on the JSE. Investment Analysts Journal, 35(63), 31-38