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Volume, Opinion Divergence and Book-to-Market Anomaly

Journal of Knowledge Globalization, 5(1), 29-45

20 Pages Posted: 15 Sep 2006 Last revised: 10 Sep 2012

Sebahattin Demirkan

Morgan State University

Date Written: Aug 1, 2012


Ali et al (2003) finding about the mispricing explanation on B/M anomaly is replicated by including risk compensation explanation. The proxy for opinion divergence in this study is unexpected volume which is also used by Garfinkel and Sokobin (2006). The finding supported investors’ treatment of unexpected volume proxies opinion divergence as an additional risk that requires ex post compensation. I documented that B/M effect increases with the opinion divergence. I also directly test Varian (1985) argument empirically and provide support for the compensation for risk to the B/M-based portfolio returns as suggested by Fama and French (1992, 1993, 1997).

Keywords: Opinion Divergence, Arbitrage risk, Book-to-market

JEL Classification: G11, G14

Suggested Citation

Demirkan, Sebahattin, Volume, Opinion Divergence and Book-to-Market Anomaly (Aug 1, 2012). Journal of Knowledge Globalization, 5(1), 29-45. Available at SSRN:

Sebahattin Demirkan (Contact Author)

Morgan State University ( email )

Baltimore, MD 21251
United States

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