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Open AccessArticle

Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns

1
JPMorgan Chase, New York City, NY 10017, USA
2
Gabelli School of Business, Fordham University, New York City, NY 10023, USA
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2019, 12(2), 90; https://doi.org/10.3390/jrfm12020090
Received: 28 April 2019 / Revised: 18 May 2019 / Accepted: 20 May 2019 / Published: 22 May 2019
(This article belongs to the Collection International Financial Markets)
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market—changes in book value, changes in price, and net share issues. This conclusion is supported using data representing North America, Europe, Japan, and Asia. Results are highly consistent across all global regions and hold for small and big market capitalization subsets as well as in different subperiods. Variables measured over the past twelve months are more relevant than variables measured over the past thirty-six months, demonstrating that recent news is more important than old news. View Full-Text
Keywords: global return predictability; cross-section of returns; book-to-market; net share issues global return predictability; cross-section of returns; book-to-market; net share issues
MDPI and ACS Style

Blackburn, D.W.; Cakici, N. Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns. J. Risk Financial Manag. 2019, 12, 90. https://doi.org/10.3390/jrfm12020090

AMA Style

Blackburn DW, Cakici N. Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns. Journal of Risk and Financial Management. 2019; 12(2):90. https://doi.org/10.3390/jrfm12020090

Chicago/Turabian Style

Blackburn, Douglas W.; Cakici, Nusret. 2019. "Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns" J. Risk Financial Manag. 12, no. 2: 90. https://doi.org/10.3390/jrfm12020090

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Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

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