Liu, Naiping; Zhang, Lu - In: Journal of Financial Markets 11 (2008) 3, pp. 199-227
No. Two related variables, the book-to-market spread (the book-to-market of value stocks minus the book-to-market of growth stocks), and the market-to-book spread (the market-to-book of growth stocks minus the market-to-book of value stocks) predict returns but with opposite signs. The value...