TY  - JOUR
T1  - Is the Book-to-Market a Measure of Risk
JF  - Journal of Financial Research
Y1  - 2005
A1  - Peterkort,Bob
A1  - Nielsen,Jim
KW  - Finance
AB  - We 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.
VL  - 28
CP  - 4
U2  - a
U4  - 649125888
ID  - 649125888
ER  -