Maroney, Neal C.; Protopapadakis, Aris A. - Department of Economics and Finance, College of … - 1999
We find a positive relation between returns and Book-to Market ratio (BE/ME) and a negative relation between returns and Market Value (MVE) in all the countries we study. The BE/ME and MVE "effects" are international in character and remain strong under a general stochastic pricing function that...