Average Returns, B/M, and Share Issues
发现账面市值比（B/M）的变化中包含了关于预期现金流的独立信息，可用于改进预期收益率的估计，对研究股票收益率的学者有参考价值。
ABSTRACT The book‐to‐market ratio (B/M) is a noisy measure of expected stock returns because it also varies with expected cashflows. Our hypothesis is that the evolution of B/M, in terms of past changes in book equity and price, contains independent information about expected cashflows that can be used to improve estimates of expected returns. The tests support this hypothesis, with results that are largely but not entirely similar for Microcap stocks (below the 20 th NYSE market capitalization percentile) and All but Micro stocks (ABM).