01121nas a2200157   4500008004100000245004400041210003500085260000900120300001200129490000700141520069600148653001200844100001900856700001700875856007100892       2005                        eng d00aIs the Book-to-Market a Measure of Risk0 aBooktoMarket a Measure of Risk  c2005  a487-5020 v283 aWe develop a leverage-based alternative to traditional asset pricing models to investigate whether the book-to-market ratio acts as a proxy for risk. We argue that the book-to-market ratio should act as a proxy because of the expected relations between (1) financial risk and measures of capital structure based on the market value of equity and (2) asset risk and measures of capital structure based on the book value of equity. We find no relation between average stock returns and the book-to-market ratio in all-equity firms after controlling for firm size, and an inverse relation between average stock returns and the book-to-market ratio in firms with a negative book value of equity.10aFinance1 aPeterkort, Bob1 aNielsen, Jim  u/biblio/book-market-measure-risk-0