Explanation:
The value effect refers to the phenomenon where value stocks (characterized by below-average price-to-earnings and market-to-book ratios, and above-average dividend yields) consistently outperform growth stocks over extended periods. This is distinct from the size effect, which relates to the performance of large-cap stocks, and the earnings surprise anomaly, which focuses on unexpected earnings announcements. Thus, the correct answer is B.
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The value effect market-pricing anomaly most likely occurs when stocks with below-average price-to-earnings and market-to-book ratios, along with above-average dividend yields, consistently outperform:
A
Large-capitalization stocks.
B
Growth-oriented stocks.
C
Stocks exhibiting negative earnings surprises.