BOOK-TO-MARKET ACROSS FIRM SIZE, EXCHANGE, AND SEASONALITY - IS THEREAN EFFECT

Fama and French (1992) report that size and the book-to-market ratio c apture the cross-sectional variation of average stock returns for the universe of NYSE, Amex, and Nasdaq securities. This paper, in providin g an exhaustive exploration of book-to-market across the dimensions of firm size, exchange listing, and calendar seasonality, reports that F ama and French's empirical findings are driven by two features of the data: a January seasonal in the book-to-market effect, and exceptional ly low returns on small, young, growth stocks. In the largest size qui ntile of all firms (accounting for 73% of the total market value of al l publicly traded firms), book-to-market has no significant explanator y power on the cross-section of realized returns during the 1963-1995 period. Thus, book-to-market as such would have less importance to mon ey managers than the literature would have led us to believe.