Calculations within the period 1995 – 2005 showed that the Book – to – Market Effect exists on Warsaw Stock Exchange during a boom (“the bull market”) when the highest average returns are reached by the portfolio of the value potential stocks (the 20% of stocks with the highest book – to – market equity ratio) and the lowest average returns are reached by the portfolio of the growth potential stocks (the 20% of stocks with the lowest book – to – market equity ratio).