Barber, B. M., & Lyon, J. D. (1997). Firm Size, Book-to-Market Ratio, and Security Returns: A Holdout Sample of Financial Firms. Journal of Finance, 52, 875-883.
https://doi.org/10.1111/j.1540-6261.1997.tb04826.x

has been cited by the following article:

• TITLE: Size, Value, and Beta in Japan—A Panoramic View

  AUTHORS: Chikashi Tsuji

  KEYWORDS: Asset Pricing, Beta, Book-to-Market Ratio, CAPM, Size Premia, Value Premia

  JOURNAL NAME: Theoretical Economics Letters, Vol.13 No.2, April 30, 2023

  ABSTRACT: Considering finance theory, this study investigates the relations between portfolio returns and betas in Japan, and derives the following interesting findings. First, we observe that for January 1992 to December 2021, there was little nexus between the returns and their betas in six size- and book equity to market equity (BE/ME)-sorted portfolios in Japan. Second, we also observe that for our six five-year sub periods, there was little linkage between the returns and their betas in Japanese six size- and BE/ME-sorted portfolios. Third, our regression analysis confirms that statistically, there was almost no relation between the returns and their betas in Japanese six size- and BE/ME-sorted portfolios for January 1992 to December 2021.