Hung, Weifeng; Chiao, Chaoshin; Liao, Tung Liang; … - In: International Review of Economics & Finance 22 (2012) 1, pp. 11-24
Prior studies document that the book-to-market (BM) effect is absent in the Taiwan stock market. Using Taiwanese data covering from 1991 to 2006, we show that, after controlling for the size effect and the Fama and French's (1993) risk factors, the BM effect only exists for those firms with low...
