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Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis
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Cited by:
- Ferson, Wayne E. & Harvey, Campbell R., 1997.
"Fundamental determinants of national equity market returns: A perspective on conditional asset pricing,"
Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1625-1665, December.
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- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020.
"Taming the Factor Zoo: A Test of New Factors,"
Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
- Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
- Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08013, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Mohamed Naceur Mahjoubi & Ezzeddine Abaoub, 2015. "Earnings Response Coefficient as a Measure of Market Expectations: Evidence from Tunis Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 377-389.
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- Drobyshevsky Sergey & Narkevich Sergey & E. Pikulina & D. Polevoy, 2009. "Analysis Of a Possible Bubble On the Russian Real Estate Market," Research Paper Series, Gaidar Institute for Economic Policy, issue 128.
- Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 55-81, March.
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"Downside risk and asset pricing,"
Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
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- Tanveer Ahmad; Syed Muhammad Amir Shah, 2017. "The Value-Growth Indicators and Value Premium: Evidence from Pakistan Stock Exchange," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 11(2), pages 124-139, Fall.
- Goel, Sanjay & Cagle, Seth & Shawky, Hany, 2017. "How vulnerable are international financial markets to terrorism? An empirical study based on terrorist incidents worldwide," Journal of Financial Stability, Elsevier, vol. 33(C), pages 120-132.
- Aníbal Báez-Díaz & Pervaiz Alam, 2013. "Tax conformity of earnings and the pricing of accruals," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 509-538, April.
- John Goodell & Richard Bodey, 2012. "Price-earnings changes during US presidential election cycles: voter uncertainty and other determinants," Public Choice, Springer, vol. 150(3), pages 633-650, March.
- GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza, 2016. "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 365-379.
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"Do momentum strategies work? Australian evidence,"
Managerial Finance,
Emerald Group Publishing, vol. 33(10), pages 772-787, September.
- Michael E. Drew & Madhu Veeraraghavan & Min Ye, 2004. "Do Momentum Strategies Work?: - Australian Evidence," School of Economics and Finance Discussion Papers and Working Papers Series 169, School of Economics and Finance, Queensland University of Technology.
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- Ryan Bartens & Shakill Hassan, 2010.
"Value, size and momentum portfolios in real time: the cross section of South African stocks,"
Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
- Ryans Bartens & Shakill Hassan, 2009. "Value, Size and Momentum Portfolios in Real Time: The Cross-Section of South African Stocks," Working Papers 154, Economic Research Southern Africa.
- Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
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- Maria-Lenuţa Ciupac-Ulici & Daniela-Georgeta Beju & Ioan-Alin Nistor & Flaviu Pișcoran, 2023. "The impact of the Altman score on the energy sector companies," Journal of Financial Studies, Institute of Financial Studies, vol. 14(8), pages 45-56, June.
- Connor, Gregory & Linton, Oliver, 2007.
"Semiparametric estimation of a characteristic-based factor model of common stock returns,"
Journal of Empirical Finance, Elsevier, vol. 14(5), pages 694-717, December.
- Connor, Gregory & Linton, Oliver, 2006. "Semiparametric estimation of a characteristic-based factor model of common stock returns," LSE Research Online Documents on Economics 4424, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Oliver Linton, 2006. "Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns," STICERD - Econometrics Paper Series 506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Bing Xiao, 2023. "The Size Effect and the Value Effect in the American Stock Market," Post-Print hal-04194510, HAL.
- Polyzos, Efstathios & Wang, Fang, 2022. "Twitter and market efficiency in energy markets: Evidence using LDA clustered topic extraction," Energy Economics, Elsevier, vol. 114(C).
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- Avanidhar Subrahmanyam, 2010. "The Cross†Section of Expected Stock Returns: What Have We Learnt from the Past Twenty†Five Years of Research?," European Financial Management, European Financial Management Association, vol. 16(1), pages 27-42, January.
- Jang Youn Cho, 1994. "Determinants Of Earnings‐Price Ratios: A Reexamination," Review of Financial Economics, John Wiley & Sons, vol. 3(2), pages 105-120, March.
- Gikas Hardouvelis & Georgios Papanastasopoulos & Dimitrios Thomakos & Tao Wang, 2012. "External Financing, Growth and Stock Returns," European Financial Management, European Financial Management Association, vol. 18(5), pages 790-815, November.
- Schwert, G. William, 2003.
"Anomalies and market efficiency,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974,
Elsevier.
- G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
- Zaremba, Adam & Umutlu, Mehmet & Maydybura, Alina, 2020. "Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns," Journal of Banking & Finance, Elsevier, vol. 121(C).
- 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, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(1), pages 11-28, April.
- Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers 10406, National Bureau of Economic Research, Inc.
- Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.
- Sandip Mukherji & Youngho Lee, 2013. "Explanatory Factors for Market Multiples and Expected Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(1), pages 45-54.
- Dietmar Ernst & Werner Gleißner, 2022. "Paradigm Shift in Finance: The Transformation of the Theory from Perfect to Imperfect Capital Markets Using the Example of Company Valuation," JRFM, MDPI, vol. 15(9), pages 1-13, September.
- Dimitrios D. Thomakos & Michail S. Koubouros, 2011.
"The Role of Realised Volatility in the Athens Stock Exchange,"
Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 87-124, March - J.
- Dimitrios Thomakos & Michail Koubouros, 2008. "The Role of Realized Volatility in the Athens Stock Exchange," Working Papers 0020, University of Peloponnese, Department of Economics.
- Elze, Gregor, 2010. "Value investing anomalies in the European stock market: Multiple Value, Consistent Earner, and Recognized Value," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 527-537, November.
- Vincent Chen & Samuel Tiras, 2015. "‘Other information’ as an explanatory factor for the opposite market reactions to earnings surprises," Review of Quantitative Finance and Accounting, Springer, vol. 45(4), pages 757-784, November.
- Attiya Yasmeen Javid, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE Research Report 2000:3, Pakistan Institute of Development Economics.
- Martin Lettau & Jessica A. Wachter, 2007.
"Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium,"
Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
- Debarati Basu & Deepak Chawla, 2012. "An Empirical Test of the Arbitrage Pricing Theory—The Case of Indian Stock Market," Global Business Review, International Management Institute, vol. 13(3), pages 421-432, October.
- Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
- John B. Guerard, Jr. & Robert A. Gillam & Harry Markowitz & Ganlin Xu & Shijie Deng & Ziwei (Elaine) Wang, 2018. "Data Mining Corrections Testing in Chinese Stocks," Interfaces, INFORMS, vol. 48(2), pages 108-120, April.
- Neharika Sobti, 2018. "Does Size, Value and Seasonal Effects Still Persist in Indian Equity Markets?," Vision, , vol. 22(1), pages 11-21, March.
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- Chongsoo An & John J. Cheh & Il-woon Kim, 2017. "Do Value Stocks Outperform Growth Stocks in the U.S. Stock Market?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-7.
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"Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns,"
Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
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"Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model,"
Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 205-232.
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"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
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"Observed and "fundamental" price-earning ratios: A comparative analysis of high-tech stock evaluation in the US and in Europe,"
Journal of International Money and Finance, Elsevier, vol. 24(4), pages 549-581, June.
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