Biases and lags in book value and their effects on the ability of the book-to-market ratio to predict book return on equity

Article Abstract:

Two sources of variation in book-to-market value, bias and lags in the book value, are distinguished according to their implications for the ability of the book-to-market ratio to predict future book return on equity. A hypothesis that the bias component has a more persistent association with future results is presented and validated. Decomposing he book-to-market ratio into bias and lag components reveals that each has different associations with future book return on equity.

Forecasts, trends, outlooks, Science & research, Analysis, Forecasts and trends, Valuation, Stock price forecasting, Book value (Accounting)

The effect of bank loan portfolio composition on the market reaction to and anticipation of loan loss provisions

Article Abstract:

The idea that the market reacts favorably to banks that include loan loss provisions in their loan portfolio is tested. The research presented shows that this may be true for banks that specialized in large loans it is not true for banks that issue smaller loans.

Management, Loan loss reserves, Bank loans

A model of accrual measurement with implications for the evolution of book-to-market ratio

Article Abstract:

A method of using book-to-market ratios to forecast the value of securities is presented.

Methods, Evaluation, Securities, Investment analysis, Securities analysis, Accrual basis accounting