Size: Small or big We sort the socks by their market capitalization share price* number of shares outstanding
Size: small or big • We sort the socks by their market capitalization: share price* number of shares outstanding
Value or growth We can sort the croSs-section of stocks by their book-to-market ratios growth stocks firm with low book-to-market ratios Value stocks firms with high book-to-market ratios
Value or growth • We can sort the cross-section of stocks by their book-to-market ratios: growth stocks:firm with low book-to-market ratios; • Value stocks:firms with high book-to-market ratios
Other factors Price-to-earining ratios, The market skewness fcator ---Havey and Siddique(jF, 2000)report that systematic skewness is economicall important and commands an average risk premium of 3.6% per year
Other factors • Price-to-earining ratios, • The market skewness fcator • ---Havey and Siddique(JF,2000) report that systematic skewness is economically important and commands an average risk premium of 3.6% per year