Size and Book‐to‐Market Factors in Earnings and Returns
作者:
EUGENE F. FAMA,
KENNETH R. FRENCH,
期刊:
The Journal of Finance
(WILEY Available online 1995)
卷期:
Volume 50,
issue 1
页码: 131-155
ISSN:0022-1082
年代: 1995
DOI:10.1111/j.1540-6261.1995.tb05169.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTWe study whether the behavior of stock prices, in relation to size and book‐to‐market‐equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals persistent poor earnings and low BE/ME signals strong earnings. Moreover, stock prices forecast the reversion of earnings growth observed after firms are ranked on size and BE/ME. Finally, there are market, size, and BE/ME factors in earnings like those in returns. The market and size factors in earnings help explain those in returns, but we find no link between BE/ME factors in earnings and re
点击下载:
PDF
(1611KB)
返 回