RT Journal Article SR Electronic T1 Do Size, Book-to-Market, and Beta Factors Explain Mutual Fund Returns? JF The Journal of Investing FD Institutional Investor Journals SP 80 OP 86 DO 10.3905/joi.2003.319547 VO 12 IS 2 A1 Richard J. Curcio A1 Nyonyo A. Kyaw A1 John H.. Thornton, Jr YR 2003 UL https://pm-research.com/content/12/2/80.abstract AB 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.