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Book-to-Market Ratio and Skewness of Stock Returns

This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium (discount) investors apply to... Full description

1st Person: Zhang, Xiao-Jun
Source: in The Accounting Review Vol. 88, No. 6 (2013), p. 2213-2240
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Type of Publication: Article
Language: English
Published: 2013
Online: Volltext
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