Source code for skfolio.descriptor._value._book_to_price
"""Book-to-price ratio descriptor."""
# Copyright (c) 2023-2026
# Author: Hugo Delatte <hugo.delatte@skfoliolabs.com>
# SPDX-License-Identifier: BSD-3-Clause
from __future__ import annotations
import numpy as np
from skfolio.containers import AssetPanel
from skfolio.descriptor._base import BaseDescriptor
from skfolio.typing import FloatArray
from skfolio.utils.stats import safe_divide
from skfolio.utils.validation import validate_asset_panel
[docs]
class BookToPrice(BaseDescriptor, stateless=True):
r"""Book-to-price ratio descriptor.
Computes the ratio of common shareholders' equity (book equity) to market
capitalization:
.. math::
\text{book\_to\_price}(t) = \frac{\text{book\_equity}(t)}{\text{market\_cap}(t)}
A high book-to-price ratio identifies stocks trading at a discount relative to their
common equity. Historically, cheap stocks (those with high book-to-price ratios) have
earned higher average returns than expensive stocks (those with low book-to-price
ratios) [1]_.
Parameters
----------
None
Attributes
----------
n_assets_ : int
Number of assets seen during fitting.
asset_names_ : ndarray of shape (n_assets,)
Asset names seen during fitting.
Notes
-----
Non-missing `market_cap` values must be finite and strictly positive. Negative
`book_equity` values are preserved because they carry information about the firm's
balance sheet.
This descriptor uses aggregate quantities (common equity divided by total market
capitalization) rather than per-share quantities (book value per share divided by
price). The two are mathematically equivalent:
.. math::
\frac{\text{book\_equity}}{\text{price} \times \text{shares\_out}}
= \frac{\text{book\_value\_per\_share}}{\text{price}}
The aggregate form is preferred because it avoids subtle split-adjustment mismatches
between numerator and denominator. Aggregate fundamentals are the primary form from
data providers; per-share quantities are derived from them.
See Also
--------
SalesToPrice : Sales normalized by market capitalization.
CashFlowToPrice : Operating cash flow normalized by market capitalization.
References
----------
.. [1] "The cross-section of expected stock returns"
The Journal of Finance. Fama, E. F., & French, K. R. (1992).
Examples
--------
>>> from skfolio.datasets import make_synthetic_characteristics
>>> from skfolio.descriptor import BookToPrice
>>>
>>> X = make_synthetic_characteristics()
>>>
>>> descriptor = BookToPrice()
>>> book_to_price = descriptor.fit_transform(X)
"""
