메뉴 건너뛰기




Volumn 6, Issue 2, 2002, Pages 189-221

The Book-to-Market and Size Effects in a General Asset Pricing Model: Evidence from Seven National Markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 31444447591     PISSN: 15723097     EISSN: 1573692X     Source Type: Journal    
DOI: 10.1023/A:1020188410677     Document Type: Review
Times cited : (12)

References (45)
  • 1
    • 0001758906 scopus 로고
    • Heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews, W. K. (1991), 'Heteroskedasticity and autocorrelation consistent covariance matrix estimation', Econometrica 59, 817-858.
    • (1991) Econometrica , vol.59 , pp. 817-858
    • Andrews, W.K.1
  • 2
    • 84881844837 scopus 로고
    • Some tests of specification for panel data: Monte carlo evidence and an application to employment equations
    • Arellano, M. and Bond, S. (1991), 'Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations', Review of Economic Studies 58, 277-297.
    • (1991) Review of Economic Studies , vol.58 , pp. 277-297
    • Arellano, M.1    Bond, S.2
  • 3
    • 0010023511 scopus 로고
    • The relationship between return and market value of common stocks
    • Banz, R. W. (1981), 'The relationship between return and market value of common stocks', Journal of Financial Economics 9, 3-18.
    • (1981) Journal of Financial Economics , vol.9 , pp. 3-18
    • Banz, R.W.1
  • 4
    • 84916936900 scopus 로고
    • Investment performance of common stocks in relation to their price earnings ratios: A test of the efficient market hypothesis
    • Basu, S. (1977), 'Investment performance of common stocks in relation to their price earnings ratios: A test of the efficient market hypothesis', Journal of Finance 32, 663-682.
    • (1977) Journal of Finance , vol.32 , pp. 663-682
    • Basu, S.1
  • 5
    • 0040197221 scopus 로고
    • The relationship between earnings yield, market value and return for nyse common stocks: Further evidence
    • Basu, S. (1983), 'The relationship between earnings yield, market value and return for NYSE common stocks: Further evidence', Journal of Financial Economics 12, 129-156.
    • (1983) Journal of Financial Economics , vol.12 , pp. 129-156
    • Basu, S.1
  • 7
    • 0344839169 scopus 로고
    • Stock returns and the term structure
    • Campbell, J. Y. (1987), 'Stock returns and the term structure', Journal of Financial Economics 18, 373-399.
    • (1987) Journal of Financial Economics , vol.18 , pp. 373-399
    • Campbell, J.Y.1
  • 10
    • 84922463168 scopus 로고
    • Structural and return characteristics of small and large firms
    • Chan, K.C. and Chen, N. (1991), 'Structural and return characteristics of small and large firms', Journal of Finance 46, 1467-1484.
    • (1991) Journal of Finance , vol.46 , pp. 1467-1484
    • Chan, K.C.1    Chen, N.2
  • 11
    • 84977703403 scopus 로고
    • Fundamentals and stock returns in Japan
    • Chan, L. C., Hamao, Y. and Lakonishok, J. (1991), 'Fundamentals and stock returns in Japan', Journal of Finance 46, 1739-1764.
    • (1991) Journal of Finance , vol.46 , pp. 1739-1764
    • Chan, L.C.1    Hamao, Y.2    Lakonishok, J.3
  • 12
    • 0004291281 scopus 로고    scopus 로고
    • Princeton University Press Princeton New Jersey
    • Cochrane, J. H. (2001), Asset pricing, Princeton University Press, Princeton New Jersey.
    • (2001) Asset Pricing
    • Cochrane, J.H.1
  • 13
    • 0002014264 scopus 로고    scopus 로고
    • Evidence on the characteristics of cross-sectional variation in stock returns
    • Daniel, K. and Tittman, S. (1997), 'Evidence on the characteristics of cross-sectional variation in stock returns', Journal of Finance 52, 1-34.
    • (1997) Journal of Finance , vol.52 , pp. 1-34
    • Daniel, K.1    Tittman, S.2
  • 14
    • 0011733543 scopus 로고    scopus 로고
    • Testing for mean-variance spanning: A survey
    • De Roon, F. A. and Nijman, T. (2001), 'Testing for mean-variance spanning: A survey', Journal of Empirical Finance 8, 111-115.
    • (2001) Journal of Empirical Finance , vol.8 , pp. 111-115
    • De Roon, F.A.1    Nijman, T.2
  • 15
    • 33748417751 scopus 로고
    • Asset pricing and portfolio diversification: Evidence from emerging financial markets
    • in Mike Howell ed., Euromoney Books
    • De Santis, G. (1994), 'Asset pricing and portfolio diversification: evidence from emerging financial markets', in Mike Howell ed., Investing in Emerging Markets, Euromoney Books.
    • (1994) Investing in Emerging Markets
    • De Santis, G.1
  • 17
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. F. and French, K. (1992), 'The cross-section of expected stock returns', Journal of Finance 47, 427-465.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.F.1    French, K.2
  • 18
    • 84993845943 scopus 로고
    • Size and book-to-market factors in earnings and returns
    • Fama, E. F. and French, K. (1995), 'Size and book-to-market factors in earnings and returns', Journal of Finance 50, 131-155.
    • (1995) Journal of Finance , vol.50 , pp. 131-155
    • Fama, E.F.1    French, K.2
  • 19
    • 11544342489 scopus 로고    scopus 로고
    • Value versus growth: The international evidence
    • Fama, E. F. and French, K. (1998), 'Value versus growth: The international evidence', Journal of Finance 53, 1975-1999.
    • (1998) Journal of Finance , vol.53 , pp. 1975-1999
    • Fama, E.F.1    French, K.2
  • 20
    • 84956514447 scopus 로고    scopus 로고
    • Working Paper Kelley School of Business Indiana University
    • Ferguson, M. and Shockley, R. (1999), 'Equilibrium Anomalies', Working Paper, Kelley School of Business Indiana University.
    • (1999) Equilibrium Anomalies
    • Ferguson, M.1    Shockley, R.2
  • 21
    • 84993911789 scopus 로고
    • General tests of latent variable models and mean-variance spanning
    • Ferson, W. E., Foerster, S. R. and Keim, D. B. (1993), 'General tests of latent variable models and mean-variance spanning', Journal of Finance 48, 131-156.
    • (1993) Journal of Finance , vol.48 , pp. 131-156
    • Ferson, W.E.1    Foerster, S.R.2    Keim, D.B.3
  • 22
    • 43949159894 scopus 로고
    • Finite sample properties of the generalized method of moments in tests of conditional asset pricing models
    • Ferson, W. E. and Foerster, S. R. (1994), 'Finite sample properties of the Generalized Method of Moments in tests of conditional asset pricing models', Journal of Financial Economics 36, 29-55.
    • (1994) Journal of Financial Economics , vol.36 , pp. 29-55
    • Ferson, W.E.1    Foerster, S.R.2
  • 23
    • 21344486016 scopus 로고
    • The risk and predictability of international equity returns
    • Ferson, W. E. and Harvey, C. R. (1993), 'The risk and predictability of international equity returns', Review of Financial Studies 6, 527-566.
    • (1993) Review of Financial Studies , vol.6 , pp. 527-566
    • Ferson, W.E.1    Harvey, C.R.2
  • 25
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen, L. P. (1982), 'Large sample properties of generalized method of moments estimators', Econometrica 50, 1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 26
    • 84934563125 scopus 로고
    • Implications of security market data for models of dynamic economies
    • Hansen, L. P. and Jagannathan, R. (1991), 'Implications of security market data for models of dynamic economies', Journal of Political Economy 99, 225-262.
    • (1991) Journal of Political Economy , vol.99 , pp. 225-262
    • Hansen, L.P.1    Jagannathan, R.2
  • 27
    • 85017108575 scopus 로고
    • Generalized instrumental variables estimation of nonlinear rational expectation models
    • Hansen, L. P. and Singleton, K. J. (1982), 'Generalized instrumental variables estimation of nonlinear rational expectation models', Econometrica 50, 1269-1286.
    • (1982) Econometrica , vol.50 , pp. 1269-1286
    • Hansen, L.P.1    Singleton, K.J.2
  • 28
    • 0000089498 scopus 로고
    • The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models
    • Hansen, L. P. and Richard, S.F. (1987), 'The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models', Econometrica 55, 587-613.
    • (1987) Econometrica , vol.55 , pp. 587-613
    • Hansen, L.P.1    Richard, S.F.2
  • 29
    • 0000425816 scopus 로고
    • Time-varying conditional covariances in tests of asset pricing models
    • Harvey, C. R. (1989), 'Time-varying conditional covariances in tests of asset pricing models', Journal of Financial Economics 24, 289-317.
    • (1989) Journal of Financial Economics , vol.24 , pp. 289-317
    • Harvey, C.R.1
  • 30
    • 84977722638 scopus 로고
    • The world price of covariance risk
    • Harvey, C. R. (1991), 'The world price of covariance risk', Journal of Finance 46, 111-158.
    • (1991) Journal of Finance , vol.46 , pp. 111-158
    • Harvey, C.R.1
  • 31
    • 85040425597 scopus 로고    scopus 로고
    • The role of beta and size in the cross-section of european stock returns
    • Heston, S., Rouwenhorst, G. and Wessels, R. (1999), 'The role of beta and size in the cross-section of European stock returns', European Financial Management 4, 4-28.
    • (1999) European Financial Management , vol.4 , pp. 4-28
    • Heston, S.1    Rouwenhorst, G.2    Wessels, R.3
  • 35
    • 48749147730 scopus 로고
    • Size-related anomalies and stock return seasonality
    • Keim, D. B. (1983), 'Size-related anomalies and stock return seasonality', Journal of Financial Economics 12, 13-32.
    • (1983) Journal of Financial Economics , vol.12 , pp. 13-32
    • Keim, D.B.1
  • 36
    • 84993888629 scopus 로고
    • Another look at the cross-section of expected stock returns
    • Kothari, S. P., Shanken, J. and Sloan, R. G. (1995), 'Another look at the cross-section of expected stock returns', Journal of Finance 50, 1541-1578.
    • (1995) Journal of Finance , vol.50 , pp. 1541-1578
    • Kothari, S.P.1    Shanken, J.2    Sloan, R.G.3
  • 38
    • 84977715008 scopus 로고
    • Using the generalized method of moments to test mean-variance efficiency
    • MacKinlay, C. A., and Richardson, M. (1991), 'Using the generalized method of moments to test mean-variance efficiency', Journal of Finance 46, 511-528.
    • (1991) Journal of Finance , vol.46 , pp. 511-528
    • MacKinlay, C.A.1    Richardson, M.2
  • 39
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K. and West, K. D. (1987), 'A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix', Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 40
    • 34248494199 scopus 로고
    • Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values
    • Reiganum, M.R., (1981), 'Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values', Journal of Financial Economics 9, 19-46
    • (1981) Journal of Financial Economics , vol.9 , pp. 19-46
    • Reiganum, M.R.1
  • 41
    • 0012584954 scopus 로고    scopus 로고
    • Local return factors and turnover in emerging stock markets
    • Rouwenhorst, K. G. (1999), 'Local return factors and turnover in emerging stock markets', Journal of Finance 54, 1439-1464.
    • (1999) Journal of Finance , vol.54 , pp. 1439-1464
    • Rouwenhorst, K.G.1
  • 42
    • 0040520434 scopus 로고
    • Intertemporal asset pricing
    • Shanken, J. (1990), 'Intertemporal asset pricing', Journal of Econometrics 45, 99-120.
    • (1990) Journal of Econometrics , vol.45 , pp. 99-120
    • Shanken, J.1
  • 43
    • 58149364936 scopus 로고
    • Underperformance in long-run stock returns following seasoned equity offerings
    • Spiess, K. D. and Affleck-Graves, J. (1995), 'Underperformance in long-run stock returns following seasoned equity offerings', Journal of Financial Economics 38, 243-267.
    • (1995) Journal of Financial Economics , vol.38 , pp. 243-267
    • Spiess, K.D.1    Affleck-Graves, J.2
  • 45
    • 0012880460 scopus 로고
    • A Bayesian approach to diagnosis of asset pricing models
    • Stutzer, M. (1995), 'A Bayesian approach to diagnosis of asset pricing models', Journal of Econometrics 68, 367-398.
    • (1995) Journal of Econometrics , vol.68 , pp. 367-398
    • Stutzer, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.