Book-to-market ratios as predictors of market returns 1 This paper has benefited from comments from workshop participants at Arizona State University, University of Washington, and the Western Finance Association meetings, as well as Hendrik Bessembinder, Gary Biddle, Michael Brennan, J.B. Chay, Roger Edelen, Eugene Fama (the referee), Wayne Ferson, Mark Huson, S.P. Kothari, Paul Malatesta, Eric Noreen, Charles Nelson, Vance Roley, Andrew Siegel, Jerold Warner, and Simon Wheatley. We would also like to thank David Myers and Denny Stephenus for research assistance, and Kenneth French for providing some of the data used in this study. 1
Titel:
Book-to-market ratios as predictors of market returns 1 This paper has benefited from comments from workshop participants at Arizona State University, University of Washington, and the Western Finance Association meetings, as well as Hendrik Bessembinder, Gary Biddle, Michael Brennan, J.B. Chay, Roger Edelen, Eugene Fama (the referee), Wayne Ferson, Mark Huson, S.P. Kothari, Paul Malatesta, Eric Noreen, Charles Nelson, Vance Roley, Andrew Siegel, Jerold Warner, and Simon Wheatley. We would also like to thank David Myers and Denny Stephenus for research assistance, and Kenneth French for providing some of the data used in this study. 1
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