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Size and Earnings/Price Ratio Anomalies: One Effect or Two?

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  • Cook, Thomas J.
  • Rozeff, Michael S.

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  • Cook, Thomas J. & Rozeff, Michael S., 1984. "Size and Earnings/Price Ratio Anomalies: One Effect or Two?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(04), pages 449-466, December.
  • Handle: RePEc:cup:jfinqa:v:19:y:1984:i:04:p:449-466_01
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    Cited by:

    1. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
    2. Ying Huang & Chia-Hui Tsai & Carl R. Chen, 2007. "Expected P/E, Residual P/E, and Stock Return Reversal: Time-Varying Fundamentals or Investor Overreaction?," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 6(1), pages 11-28, April.
    3. Higson, Chris & Elliott, Jamie, 1998. "Post-takeover returns: The UK evidence," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 27-46, January.
    4. Chang, Chiao-Yi, 2011. "The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 14-27, February.
    5. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 7-97, Wharton School Rodney L. White Center for Financial Research.
    6. Liu, Chao-Shin & Ziebart, David A., 1999. "Anomalous security price behavior following management earnings forecasts," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 405-429, October.
    7. Shum, Wai Cheong & Tang, Gordon Y.N., 2005. "Common risk factors in returns in Asian emerging stock markets," International Business Review, Elsevier, vol. 14(6), pages 695-717, December.
    8. Aggarwal, Raj & Rao, Ramesh P & Hiraki, Takato, 1990. "Regularities in Tokyo Stock Exchange Security Returns: P/E, Size, and Seasonal Influences," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(3), pages 249-263, Fall.
    9. Kohers, Theodor & Pandey, Vivek & Kohers, Gerald, 1997. "Using nonlinear dynamics to test for market efficiency among the major U.S. stock exchanges," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 523-545.
    10. Anissa Chaibi & Sabrina Alioui & Bing Xiao, 2014. "On The Impact Of Firm Size On Risk And Return: Fresh Evidence From The American Stock Market Over The Recent Years," Working Papers 2014-230, Department of Research, Ipag Business School.
    11. repec:jfr:ijfr11:v:8:y:2017:i:4:p:38-52 is not listed on IDEAS
    12. Yang, Insun & Koveos, Peter & Barkley, Tom, 2015. "Permanent sales increase and investment," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 15-33.
    13. Ramcharran, Harri, 2002. "An empirical analysis of the determinants of the P/E ratio in emerging markets," Emerging Markets Review, Elsevier, vol. 3(2), pages 165-178, June.
    14. Lau, Sie Ting & Lee, Chee Tong & McInish, Thomas H., 2002. "Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 207-222, July.
    15. Javid, Attiya Yasmin, 2009. "Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market," MPRA Paper 38059, University Library of Munich, Germany.
    16. Gerald Lander, 2006. "Returns of Small Growth Stocks: An Empirical Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(4), pages 475-490, November.
    17. Francesco Campanella & Mario Mustilli & Eugenio D¡¯Angelo, 2016. "Efficient Market Hypothesis and Fundamental Analysis: An Empirical Test in the European Securities Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 27-42, February.
    18. Teppo Martikainen, 1991. "The impact of infrequent trading on betas based on daily, weekly and monthly return intervals : empirical evidence with Finnish data," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 52-64, Spring.
    19. Christopher K. Ma & Ramesh P. Rao & Herbert J. Weinraub, 1988. "The Seasonality In Convertible Bond Markets: A Stock Effect Or Bond Effect?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(4), pages 335-347, December.
    20. George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 413-426.
    21. Keith Anderson & Chris Brooks, 2005. "The Long-Term P/E Radio," ICMA Centre Discussion Papers in Finance icma-dp2005-02, Henley Business School, Reading University.
    22. Yi, Jong-Hwan, 2001. "Pre-offering earnings and the long-run performance of IPOs," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 53-67.

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