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1、AmericanFinanceAssociationSizeandBook-to-MarketFactorsinEarningsandReturnsAuthor(s):EugeneF.FamaandKennethR.FrenchReviewedwork(s):Source:TheJournalofFinance,Vol.50,No.1(Mar.,1995),pp.131-155Publishedby:WileyfortheAmericanFinanceAssociationStableURL:http://www.jstor.org/stable/2329241.Accessed:23/01/
2、201316:48YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jsp.JSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawiderangeofcontentinatrusteddigitalarchive.Weuseinfor
3、mationtechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org..WileyandAmericanFinanceAssociationarecollaboratingwithJSTORtodigitize,preserveandextendaccesstoTheJournalofFinance.http://www.jstor.orgThiscontentdownloadedon
4、Wed,23Jan201316:48:43PMAllusesubjecttoJSTORTermsandConditionsTHEJOURNALOFFINANCE*VOL.L,NO.1*MARCH1995SizeandBook-to-MarketFactorsinEarningsandReturnsEUGENEF.FAMAandKENNETHR.FRENCH*ABSTRACTWestudywhetherthebehaviorofstockprices,inrelationtosizeandbook-to-market-equity(BE/ME),reflectsthebehaviorofearn
5、ings.Consistentwithrationalpricing,highBE/MEsignalspersistentpoorearningsandlowBE/MEsignalsstrongearnings.Moreover,stockpricesforecastthereversionofearningsgrowthobservedafterfirmsarerankedonsizeandBE/ME.Finally,therearemarket,size,andBE/MEfactorsinearningslikethoseinreturns.Themarketandsizefactorsi
6、nearningshelpexplainthoseinreturns,butwefindnolinkbetweenBE/MEfactorsinearningsandreturns.FAMAANDFRENCH(1992)FINDthattwovariables,marketequity(ME)andtheratioofbookequitytomarketequity(BE/ME)capturemuchofthecross-sectionofaveragestockreturns.Ifstocksarepricedrationally,systematicdifferencesinaverager
7、eturnsareduetodifferencesinrisk.Thus,withrationalpricing,size(ME,stockpricetimessharesoutstanding)andBE/MEmustproxyforsensitivitytocommonriskfactorsinreturns.FamaandFrench(1993)confirmthatportfoliosco
