UNSPECIFIED (2001) Are two factors enough? The UK evidence. FINANCIAL ANALYSTS JOURNAL, 57 (6). 96-+. ISSN 0015-198X

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Abstract

Some studies in the 1990s documented that book value of equity to market value of equity (BV/MV) and the market value of equity (MVE) capture the cross-sectional variation of stock returns in the U.S. market in the 1963-90 period. Other researchers argued, however, that two other variables-the sales-to-price ratio (SIP) and the debt-to-equity ratio (DIE)-have more explanatory power for stock returns than BV/MV and MVE. The evidence in this article,from London Stock Exchange data, indicates that SIP and DIE do not entirely absorb the roles of BV/MV and MVE in explaining the cross-section of average stock returns in the U.K. market. We did find that SIP has significant explanatory power beyond the contribution of BV/MV and MVE, but the explanatory power of DIE is captured by SIP.

Item Type:	Journal Article
Subjects:	H Social Sciences > HG Finance
Journal or Publication Title:	FINANCIAL ANALYSTS JOURNAL
Publisher:	ASSOC INVESTMENT MANAGEMENT RESEARCH (A I M R)
ISSN:	0015-198X
Date:	November 2001
Volume:	57
Number:	6
Number of Pages:	11
Page Range:	96-+
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/11394

Data sourced from Thomson Reuters' Web of Knowledge

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