%0 Journal Article %A Richard J. Curcio %A Nyonyo A. Kyaw %A John H.. Thornton, Jr %T Do Size, Book-to-Market, and Beta Factors Explain Mutual Fund Returns? %D 2003 %R 10.3905/joi.2003.319547 %J The Journal of Investing %P 80-86 %V 12 %N 2 %X 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. %U https://joi.pm-research.com/content/iijinvest/12/2/80.full.pdf