Bianconi, Marcelo; Yoshino, Joe A. - Department of Economics, Tufts University - 2012
observations from 1999 to 2010. The effect of return on equity on market-to-book is time-varying and declining across the years in …, but value stocks are more persistent thatn growth stocks in this sector. The effect of the return on equity is positive of … about 0.9% on market-to-book per unit of return on equity at the 10th percentile of the market-to-book. This effect becomes …