Going by the Book: Valuation Ratios and Stock Returns
نویسندگان
چکیده
We study the use of book-to-market ratios (B/M) in value investing and its implications for comovements firms' stock returns trading volumes. show B/M has increasingly detached from alternative valuation while becoming worse at forecasting growth an absolute relative sense. Despite these trends, major U.S. indexes institutional funds continue relying on when identifying stocks. Consistent with this reliance shaping market outcomes, we find volumes comove B/M-peers (i.e., firms similar B/M) excess their fundamentals, particularly among stocks held by value-oriented funds.
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3854022