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Dimension and Book-to-Market Ratio Again The English Case

Using the Fama-French Model (1993) Daniel and Titman (1997) show that size and book-to-market effects cannot be understood as distress factor proxies, but as characteristics that explain the cross section variation in stock returns. Davis et al. (2000) refute these results using a different set of data. While addressing this question, we have found unexpected evidence against the Fama-French Model in the UK mar...