TY - CHAP
T1 - SIZE AND BOOK-TO-MARKET EFFECTS IN THE RETURNS ON INFORMATION TECHNOLOGY STOCKS
AU - Nguyen, Quang Ngoc
AU - Fetherston, Thomas A.
AU - Batten, Jonathan A.
PY - 2004
Y1 - 2004
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=33748502519&partnerID=8YFLogxK
U2 - 10.1016/S0196-3821(04)21003-6
DO - 10.1016/S0196-3821(04)21003-6
M3 - Chapter
AN - SCOPUS:33748502519
SN - 0762311614
SN - 9780762311613
VL - 21
T3 - Research in Finance
SP - 45
EP - 91
BT - Research in Finance
ER -