CAPM Anomalies
This document summarizes a study examining whether the components of the book-to-market ratio (B/M) can improve estimates of expected stock returns compared to using B/M alone. Specifically, the study analyzes how past changes in stock price and book equity, as well as net share issues, relate to future stock returns for different categories of stocks over time periods 1927-1963 and 1963-2005. The results vary across different stock categories and time periods, with the breakdown of B/M into its components generally providing better estimates of expected returns for smaller "Tiny" stocks throughout the sample periods, but not consistently improving estimates for larger stocks excluding Tiny stocks. Net share issues are also found to help predict returns during 1963
