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Quantitative Finance · Glossary

What is Book-to-price ratio, value strategy?

Also known as: book-to-price ratio · value strategy

Definition 6.1 Strategies I: Equities and Futures · Chapter 6 — Value, Quality and Low Risk

A stock’s book-to-price ratio is its book equity per share divided by its price (equivalently, book equity over market capitalisation). A value strategy buys stocks with high ratios of a fundamental measure (book equity, earnings, cash flow, sales) to price and sells stocks with low ratios.

The Fama–French value and profitability factors: trailing 120-month mean return, annualised, at each December. Derived from the Kenneth R. French Data Library (Fama/French 5 factors, 2x3, monthly, 202607 CRSP file); the raw series is not redistributed.
Figure 6.1. The Fama–French value and profitability factors: trailing 120-month mean return, annualised, at each December. Derived from the Kenneth R. French Data Library (Fama/French 5 factors, 2x3, monthly, 202607 CRSP file); the raw series is not redistributed.
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