Size and Book-to-Market Factors in Earnings and Returns
研究股票价格与规模和账面市值比的关系是否反映盈利行为，发现高账面市值比预示持续低盈利，低账面市值比预示高盈利，且盈利中的市场和规模因子有助于解释回报中的相应因子。
We study whether the behavior of stock prices, in relation to size and book to market equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals persistent poor earnings and low BE/ME signals strong earnings. Moreover, stock prices forecast the reversion of earnings growth observed after firms are ranked on size and BE/ME. Finally, there are market, size, and BE/ME factors in earnings like those in returns. The market and size factors in earnings help explain those in returns, but we find no link between BE/ME factors in earnings and returns.