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The book-to-market effect and the behaviour of stock returns in the Australian equity market

"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-reaction. An alternative explanation IS offered, relying on the dynamic behavior of firms and the process by which investors value the stocks of these firms.

Identiferoai:union.ndltd.org:ADTP/124498
Date January 1998
CreatorsEmeny, Matthew.
Source SetsAustraliasian Digital Theses Program
LanguageEnglish
Detected LanguageEnglish
RelationSUA

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