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A re-examination of the book to mark...

Kadiyala, Padmaja.

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A re-examination of the book to market effect in stock returns.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	A re-examination of the book to market effect in stock returns./
作者:	Kadiyala, Padmaja.
面頁冊數:	127 p.
附註:	Adviser: Rene Stulz.
Contained By:	Dissertation Abstracts International56-12A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9612205

A re-examination of the book to market effect in stock returns.
Kadiyala, Padmaja.

A re-examination of the book to market effect in stock returns. - 127 p.

Adviser: Rene Stulz.

Thesis (Ph.D.)--The Ohio State University, 1995.

The model's major testable hypotheses are: (1) Firms with a low B/M ratio are less sensitive to interest rate changes, and (2) The B/M effect can be explained by cross-sectional differences in the proportion of growth options in firm value.Subjects--Topical Terms:

1018458
Business Administration, Banking.

A re-examination of the book to market effect in stock returns.
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245 1 0 $a A re-examination of the book to market effect in stock returns.
300 $a 127 p.
500 $a Adviser: Rene Stulz.
500 $a Source: Dissertation Abstracts International, Volume: 56-12, Section: A, page: 4848.
502 $a Thesis (Ph.D.)--The Ohio State University, 1995.
520 $a The model's major testable hypotheses are: (1) Firms with a low B/M ratio are less sensitive to interest rate changes, and (2) The B/M effect can be explained by cross-sectional differences in the proportion of growth options in firm value.
520 $a This dissertation examines the empirical phenomenon that firms with a high book to market ratio (B/M) earn higher returns in the post ranking period relative to firms with a low B/M ratio.
520 $a Two sets of hypotheses that have been proposed to explain this phenomenon are examined. The first hypothesis postulates that the B/M effect arises as a result of over reaction by investors to extreme prior poor or good performance. This study tests this hypothesis by sorting all firms on the NYSE/AMEX into a pre-ranking return decile and a B/M decile. According to the null, controlling for pre-ranking return, there should not be an independent B/M effect. The test results indicate rejection of the null; there is a strong B/M effect within every prior return decile. Further, the tests show that the contrarian strategy (DeBondt and Thaler (1985,1987)) is subsumed by the B/M effect.
520 $a According to the second hypothesis, the B/M ratio is a proxy for priced risk. This study proposes a model based on evidence that low B/M firms have more growth opportunities. The model shows that these growth opportunities serve to reduce a firm's sensitivity to unanticipated interest rate changes. Merton's (1973) intertemporal asset pricing model then predicts that such firms earn lower ex-ante returns.
520 $a The first hypothesis is tested by imposing the restriction that the coefficients obtained in a regression of B/M portfolio returns on various interest rate factors, are proportional to the portfolio's B/M ranking. Tests using the Generalized Method of Moments (GMM) do not reject the null. To test the second implication, a mimicking portfolio is constructed using a firm's industry adjusted R&D/sales ratio. Fama-Macbeth regressions indicate that this portfolio can account for an annual return difference of 10.2% between the lowest and the highest B/M portfolios. This portfolio remains robust to the inclusion of the Fama and French (1994) three factor model.
590 $a School code: 0168.
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650 4 $a Business Administration, General. $3 1017457
650 4 $a Economics, Finance. $3 626650
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710 2 0 $a The Ohio State University. $3 718944
773 0 $t Dissertation Abstracts International $g 56-12A.
790 $a 0168
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791 $a Ph.D.
792 $a 1995
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