We find a positive relation between returns and Book-to Market ratio (BE/ME) and a negative relation between returns and Market Value (MVE) in all the countries we study. The BE/ME and MVE "effects" are international in character and remain strong under a general stochastic pricing function that does not depend on a specific asset pricing model and avoids potentially serious simultaneity biases inherent in the Fama & French three-factor model. Finally, potentially important macro and financial variables that we add to the pricing functions do not offer an explanation of the BE/ME effect.
Maroney, Neal and Protopapadakis, Aris, "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets;" (1999). Department of Economics and Finance Working Papers, 1991-2006. Paper 17.