In A Regression Of Perceived Long Term Investment Value Ltiv On Size S Bookto Market 3086813

In a regression of perceived long-term investment value (LTIV) on size (S), bookto-market (B/M), and management quality (MQ), the following coefficients (all significant) were estimated: LTIV = -.86 + .15log(S) – .11log(B/M) + .85MQDiscuss what can be learned from this regression (which appears in Shefrin, H., and M. Statman, 1995, “Making sense of beta, size, and book-to-market,” Journal of Portfolio Management 21 (no. 2), 26–34).

Prof. Angela


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