Value, size, and portfolio efficiency -: The value effect obtains across both large- and small-stock portfolios.

被引：5

作者：

Chow, KV ^{[1
]}

Hulburt, HM ^{[1
]}

机构：

[1] W Virginia Univ, Morgantown, WV 26506 USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2000年 / 26卷 / 03期

关键词：

D O I：

10.3905/jpm.2000.319720

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this article the authors examine the effects of book-to-market value (BE/ME) on portfolio selection and efficiency. The authors classify U.S. stocks into six value/size categories and generate a large number of random portfolios for each value/size category. Using a range of portfolio ranking criteria ria, they show that portfolios composed of high BE/ME stocks significantly dominate those of low BE/ME stocks, Portfolios composed of high BE/ME stocks perform better than randomly selected portfolios. These results obtain for all ranking criteria and for all portfolio sizes examined.

引用

页码：78 / +

页数：13

共 43 条

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