TY - JOUR T1 - Value, Size, and Portfolio Efficiency JF - The Journal of Portfolio Management SP - 78 LP - 89 DO - 10.3905/jpm.2000.319720 VL - 26 IS - 3 AU - K. Victor Chow AU - Heather M. Hulburt Y1 - 2000/04/30 UR - https://pm-research.com/content/26/3/78.abstract N2 - In this article the authors examine the effects of book–to–market value (BE/ME) on portfolio selection and efficiency. The authors classify U.S. stocks into six value/size categories and generate a large number of random portfolios for each value/size category. Using a range of portfolio ranking criteria, they show that portfolios composed of high BE/ME stocks. Portfolios composed of high BE/ME stocks perform better than randomly selected portfolios. These results obtained for all ranking criteria and for all portfolio sizes examined. ER -