Book to market, original (Stattman 1980)
⚠ weakenedBMValue· Accounting data
Log of tangible book equity (ceqt) over market equity matched at FYE
A recomputed, out-of-sample-scored replication of this factor is available — verdict decayed, OOS Sharpe 0.21.
IS Sharpe (1951–1979)
0.777
+9.7% p.a.
OOS Sharpe (1980–2024)
0.445
+6.8% p.a.
Sharpe decay
+42.7%
(IS − OOS) / |IS|
IS vol
12.4%
annualized
Cumulative return (last 40 years, monthly)
+533%1984-012024-12
Publication details
AuthorsStattman
PaperStattman (1980)
JournalOther
Publication year1980
Original sample1962–1976
More Value anomalies
Predicted div yield next month+1.42Net Payout Yield+0.89Operating Cash flows to price+0.68Book to market using December ME+0.68Book-to-market and accruals+0.65Sales-to-price+0.64
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