This paper investigates whether increases in future stock returns related to levels of total book assets (TBA) are due to risk or stock mispricing. Based on a large sample from 1989 to 2013, the findings at the portfolio-level reveal that average annual abnormal returns increase by 11.2 percent...

This study investigates whether increases in future stock returns related to levels of total book assets (TBA), after controlling for market value (MV), are due to risk or stock mispricing. Based on a 30 year sample from 1987 to 2016, the findings reveal statistically significant average annual...