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Primary Article

Do Size, Book-to-Market, and Beta Factors Explain Mutual Fund Returns?

Richard J. Curcio, Nyonyo A. Kyaw and John H.. Thornton
The Journal of Investing Summer 2003, 12 (2) 80-86; DOI: https://doi.org/10.3905/joi.2003.319547
Richard J. Curcio
A professor of finance in the College of Business Administration at Kent State University in Kent, OH.
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Nyonyo A. Kyaw
A Ph.D. candidate in finance in the College of Business Administration at Kent State University in Kent.
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John H.. Thornton Jr
An assistant professor of finance in the College of Business Administration at Kent State University in Kent.
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  • For correspondence: jthornto@bsa3.kent.edu
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Abstract

Out-of-sample tests of a three-factor capital asset pricing model using mutual fund data for the period 1995-2000 indicate that size, book-to-market (BV/MV), and market beta factors do explain mutual fund returns. Mutual funds that invested in large-capitalization stocks generated higher returns than those invested in small-cap companies. Also, low BV/ MV mutual fund portfolios registered higher returns than high BV/MV portfolios. The findings support the inclusion of beta as an important explanatory variable in stock returns, but raise serious questions about the effectiveness of the size and BV/MV factors.

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Do Size, Book-to-Market, and Beta Factors Explain Mutual Fund Returns?
Richard J. Curcio, Nyonyo A. Kyaw, John H.. Thornton
The Journal of Investing May 2003, 12 (2) 80-86; DOI: 10.3905/joi.2003.319547

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Do Size, Book-to-Market, and Beta Factors Explain Mutual Fund Returns?
Richard J. Curcio, Nyonyo A. Kyaw, John H.. Thornton
The Journal of Investing May 2003, 12 (2) 80-86; DOI: 10.3905/joi.2003.319547
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