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In a regression of perceived long-term investment value (LTIV) on size (S), book-to-market (B/M), and management quality (MQ), the following coefficients (all significant) were estimated:
- In a regression of perceived long-term investment value (LTIV) on size (S), book-to-market (B/M), and management quality (MQ), the following coefficients (all significant) were estimated: LTIV = .86 + .15log(S) .11log(B/M) + .85MQ Discuss what can be learned from this regression (which appears in Shefrin, H., and M. Statman, 1995, Making sense of beta, size, and book-to-market, Journal of Portfolio Management 21 (no. 2), 2634).
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Capital Returns Investing Through The Capital Cycle A Money Managers Reports 2002-15
Authors: Edward Chancellor
1st Edition
1137571640, 978-1137571649
