Recently, Gerakos and Linnainmaa (2018) decompose book-to-market into past book-to-market and changes in market and book values of equity. They find that book-to-market is highly persistent over time, and its explanatory power on US equity returns disappears when changes in market value of equity are accounted for. We find that, in both the US and Australian equity markets, changes in book-to-market stem largely from changes in firm size. However, contrary to the findings in the US market, book-to-market remains a strong predictor of Australian equity returns in the decomposition analysis. The results suggest that the finding in Gerakos and Linnainmaa (2018) is sample specific to the US equity market.

最近，Gerakos和Linnainmaa（2018）将账面市值分解为过去的账面市值以及市场和权益账面价值的变化。他们发现，随着时间的推移，按市值计价是高度持久的，考虑到股票市值的变化，其对美国股票收益的解释力就消失了。我们发现，在美国和澳大利亚的股票市场中，账面市值的变化主要源于公司规模的变化。然而，与美国市场的发现相反，按市盈率仍然是分解分析中澳大利亚股票收益的有力预测指标。结果表明，Gerakos和Linnainmaa（2018）中的发现是特定于美国股票市场的样本。