Book-to-market ratio and returns on the JSE
Taylor and Francis
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”.
Johannesburg Stock Exchange, Book-to-Market Ratio
Auret, C. J., & Sinclaire, R. A. (2006). Book-to-market ratio and returns on the JSE. Investment Analysts Journal, 35(63), 31-38