SIZE AND BOOK-TO-MARKET EFFECTS IN THE RETURNS ON INFORMATION TECHNOLOGY STOCKS

Quang Ngoc Nguyen, Thomas A. Fetherston, Jonathan A. Batten

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

Abstract

This paper explores the relationship between size, book-to-market, beta, and expected stock returns in the U.S. Information Technology sector over the July 1990-June 2001 period. Two models, the multivariate model and the three-factor model, are employed to test these relationships. The risk-return tests confirm the relationship between size, book-to-market, beta and stock returns in IT stocks is different from that in other non-financial stocks. However, the sub-period results (the periods before and after the technology crash in April 2000) show that the nature of the relationship between stock returns, size, book-to-market, and market factors, or the magnitude of the size, book-to-market, and market premiums, is on average unchanged for both sub-periods. This result suggests the technology stock crash in April 2000 was not a correction of stock prices.

Original languageEnglish
Title of host publicationResearch in Finance
Pages45-91
Number of pages47
Volume21
DOIs
Publication statusPublished - 2004

Publication series

NameResearch in Finance
Volume21
ISSN (Print)01963821

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