A large number of studies demonstrate that book-to-market (BM) ratio is strongly positively associated with future stock returns. Chan et al. (1990) document that BM ratio, along with earnings to-price ratio, among others, exhibits an important role in explaining future stock returns in Tokyo Stock Exchange. In the U.S. stock markets, high (low) BM firms generally earn significant positive (negative) returns. Chen and Zhang (1998) also explore the relationship between BM ratio and stock returns from both developed and emerging markets during 1970–1993, and find that BM ratio is highly positively correlated to stock returns in the United States, Japan, Hong Kong and Malaysia, while the relationship is not observed in Thailand and Taiwan.