Aurora Borealis
1 September 1994 Financial Analysts Journal Volume 50, Issue 5

Value versus Growth Stocks: Book-to-Market, Growth, and Beta

  1. Robert S. Harris
  2. Felicia C. Marston
Once growth is controlled for, beta has a significant positive link with book-to-market-value ratios, supporting an important role for beta as share prices are penalized for beta risk. Moreover, growth plays a more significant role in explaining book-market-value ratios than does beta, which suggests that investigations to understand the book-to-market effect on share returns should incorporate measures of future growth prospects. Portfolio return strategies attempting to exploit differences between value and growth stocks show that the book-to-market effect is not easily replicated simply by trading on differences among analysts’ growth estimates. The results of this study suggest that growth and beta are part, but not all, of the book-to-market puzzle.
Read the Complete Article in Financial Analysts Journal Financial Analysts Journal CFA Institute Member Content
Publisher Information
Association for Investment Management and Research 7 pages doi.org/10.2469/faj.v50.n5.18 ISSN/ISBN: 0015-198X

We’re using cookies, but you can turn them off in Privacy Settings.  Otherwise, you are agreeing to our use of cookies.  Accepting cookies does not mean that we are collecting personal data. Learn more in our Privacy Policy.