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Strategies & Market Trends : Value Investing

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To: Steve168 who wrote (20155)	12/3/2004 6:20:21 AM
From: Dave	Read Replies (1) of 78525

Steve, About 10 or so years ago, a piece of academic literature came out that basically said that Beta is dead since the Capital Asset Pricing Model (CAPM) did not reliably anticipate future stock returns. In this research by Fama & French, they found that the two best "indicators" for stock returns are: Book to Market and Small vs. Big. In other words, look for small capitalization stocks that are priced at or below their book value. The real question is, since the "market" should know this by now, has this "quirk" been arbitraged away? Dave

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