Fairfield (1994)Fairfield, P.M. (1994), “P/E, P/B and the present value of future dividends”, Financial Analysts Journal, Vol. 50 No. 4, pp. 23-31.
|
USA |
X |
X |
Accounting valuation model |
Ryan (1995)Ryan, S.G. (1995), “A model of accrual measurement with implications for the evolution of the book-to-market ratio”, Journal of Accounting Research, Vol. 33 No. 1, pp. 95-128.
|
USA |
X |
|
B/M decomposition |
Berk (1995)Berk, J. (1995), “A critique of size-related anomalies”, Review of Financial Studies, Vol. 8 No. 2, pp. 275-286.
|
USA |
X |
|
Market value decomposition |
Berk (1997)Berk, J. (1997), “Does size really matter?”, Financial Analyst Journal, Vol. 53 No. 5, pp. 12-18.
|
USA |
X |
|
Portfolio analysis/regression |
Frankel and Lee (1998)Frankel, R. and Lee, C.M.C. (1998), “Accounting valuation, market expectation, and cross-sectional stock returns”, Journal of Accounting and Economics, Vol. 25 No. 3, pp. 283-319.
|
USA |
X |
X |
Accounting valuation model |
Pontiff and Schall (1998)Pontiff, J. and Schall, L.D. (1998), “Book-to-market ratios as predictors of market returns”, Journal of Financial Economics, Vol. 49 No. 2, pp. 141-160.
|
USA |
X |
|
Regression analysis |
Lev and Sougiannis (1999)Lev, B. and Sougiannis, T. (1999), “Penetrating the book-to-market black box: the R&D effect”, Journal of Business Finance and Accounting, Vol. 26 Nos 3/4, pp. 419-449.
|
USA |
X |
X |
Portfolio analysis/regression |
Beaver and Ryan (2000)Beaver, W.H. and Ryan, S.G. (2000), “Biases and lags in book value and their effects on the ability of the book-to-market ratio to predict book return on equity”, Journal of Accounting Research, Vol. 38 No. 1, pp. 127-148.
|
USA |
X |
X |
B/M decomposition |
Billings and Morton (2001)Billings, B.K. and Morton, R.M. (2001), “Book-to-market components, future security returns, and errors in expected future earnings”, Journal of Accounting Research, Vol. 39 No. 2, pp. 197-219.
|
USA |
X |
|
B/M decomposition |
Vuolteenaho (2002)Vuolteenaho, T. (2002), “What drives frim-level stock returns?”, Journal of Finance, Vol. 57 No. 1, pp. 233-264.
|
USA |
X |
X |
VAR model |
Chen and Zhao (2006)Chen, L. and Zhao, X. (2006), “On the relation between the market-to-book ratio, growth opportunity, and leverage ratio”, Finance Research Letters, Vol. 3 No. 4, pp. 253-266.
|
USA |
X |
|
Portfolio analysis/regression |
Clubb and Naffi (2007)Clubb, C. and Naffi, M. (2007), “The usefulness of book-to-market and ROE expectations for explaining UK stock returns”, Journal of Business Finance & Accounting, Vol. 34 Nos 1/2, pp. 1-32.
|
UK |
X |
X |
Regression analysis |
Fama and French (2008)Fama, E.F. and French, K.R. (2008), “Average returns, BM, and share issues”, The Journal of Finance, Vol. 63 No. 6, pp. 2971-2995.
|
USA |
X |
|
B/M decomposition |
Almeida and Eid (2010)Almeida, J.R. and Eid, W. Jr (2010), “Estimando o retorno das ações com decomposição do índice book-to-market: Evidências na bovespa”, Revista Brasileira de Finanças, Vol. 8 No. 4, pp. 417-441.
|
Brazil |
X |
|
B/M decomposition |
Skogsvik and Skogsvik (2010)Skogsvik, S. and Skogsvik, K. (2010), “Accounting-based probabilistic prediction of ROE, the residual income valuation model and the assessment of mispricing in the Swedish stock market”, Abacus, Vol. 46 No. 4, pp. 387-418.
|
Sweden |
|
X |
Accounting valuation model |
Dorantes (2013)Dorantes, C.D. (2013), “The relevance of using accounting fundamentals in the Mexican stock market”, Journal of Economics, Finance and Administrative Science, Vol. 18, pp. 2-10.
|
Mexico |
X |
|
Portfolio analysis/regression |
Lee and Zhang (2014)Lee, W.J. and Zhang, Y. (2014), “Accounting valuation and cross sectional stock returns in China”, China Accounting and Finance Review, Vol. 16 No. 2, pp. 155-169.
|
USA and China |
X |
|
Portfolio analysis/regression |
Evrard et al. (2015)Evrard, H.S., Cruz, J.A.W. and Da Silva, W.V. (2015), “Multifatorialidade e o retorno de ações brasileiras entre o período de 2003 e 2013”, Revista de Gestão, Finanças e Contabilidade, Vol. 5 No. 3, pp. 42-60.
|
Brazil |
X |
X |
Forward selection regression/event study |