valuegrowth_2010B - 12 Selected Paper Number 8 4 Table 1:...

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Selected Paper Number 84 12 Section 4: Empirical Results 4.1 Descriptive evidence about high book-to-market firms Table 1 provides descriptive statistics about the financial characteristics of the high book-to-market portfolio of firms, as well as evidence on the long-run returns from such a portfolio. As shown in panel A, the average (median) firm in the highest book-to-market quintile of all firms has a mean (median) BM ratio of 2.444 (1.721) and an end-of-year market capitalization of 188.50 (14.37) million dollars. Consistent with the evidence presented in Fama and French (1995), the portfolio of high BM firms consists of poor performing firms; the average (median) ROA realization is –0.0054 (0.0128), and the average and median firm saw declines Table 1: Financial and Return Characteristics of High Book-to-Market Firms (14,043 firm-year observations between 1975 and 1995) Panel A: Financial Characteristics Standard Proportion with Variable Mean Median Deviation Positive Signal MVE 188.500 14.365 1015.39 n/a ASSETS 1043.99 57.561 6653.48 n/a BM 2.444 1.721 34.66 n/a ROA ± 0.0054 0.0128 0.1067 0.632 ± ROA ± 0.0096 ± 0.0047 0.2171 0.432 ± MARGIN ± 0.0324 ± 0.0034 1.9306 0.454 CFO 0.0498 0.0532 0.1332 0.755 ± LIQUID ± 0.0078 0 0.1133 0.384 ± LEVER 0.0024 0 0.0932 0.498 ± TURN 0.0119 0.0068 0.5851 0.534 ACCRUAL ± 0.0552 ± 0.0481 0.1388 0.780 Panel B: Buy-and-Hold Returns from a High Book-to-Market Investment Strategy 10th 25th 75th 90th Percent Returns Mean Percentile Percentile Median Percentile Percentile Positive One-year returns Raw 0.239 ± 0.391 ± 0.150 0.105 0.438 0.902 0.610 Market-Adj. 0.059 ± 0.560 ± 0.317 ± 0.061 0.255 0.708 0.437 Two-year returns Raw 0.479 ± 0.517 ± 0.179 0.231 0.750 1.579 0.646 Market-Adj. 0.127 ± 0.872 ± 0.517 ± 0.111 0.394 1.205 0.432
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Selected Paper Number 84 16 Table 3: Buy-and-Hold Returns to a Value Investment Strategy Based on Fundamental Signals This table presents buy-and-hold returns to a fundamental investment strategy based on purchasing high BM firms with strong fundamental signals. F_SCORE is equal to the sum of
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valuegrowth_2010B - 12 Selected Paper Number 8 4 Table 1:...

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