Book to market using December ME
✓ aliveBMdecValue· Accounting data
BM using most recent December value of market equity.
IS Sharpe (1952–1991)
0.851
+9.2% p.a.
OOS Sharpe (1992–2024)
0.679
+8.0% p.a.
Sharpe decay
+20.2%
(IS − OOS) / |IS|
IS vol
10.7%
annualized
Cumulative return (last 40 years, monthly)
+1980%1984-012024-12
Publication details
AuthorsFama and French
PaperFama and French (1992)
JournalJPM
Publication year1992
Original sample1963–1990
IS T-statistic5.71
More Value anomalies
Predicted div yield next month+1.42Net Payout Yield+0.89Operating Cash flows to price+0.68Book-to-market and accruals+0.65Sales-to-price+0.64Efficient frontier index+0.49
See all Value anomalies →