search query: @author Kim, D. / total: 14
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| Author: | Kim, D. |
| Title: | A reexamination of firm size, book-to-market, and earnings price in the cross-section of expected stock returns |
| Journal: | Journal of Financial and Quantitative Analysis
1997 : DEC, VOL. 32:4, p. 463-490 |
| Index terms: | COMPANIES PRICES STOCK RETURNS |
| Language: | eng |
| Abstract: | This paper reexamines the explanatory power of beta, firm size, book-to-market equity, and the earnings-price ratio for average stock returns, correcting two currently controversial biases: selection bias in COMPUSTAT and the errors-in-variables (EIV) bias. After filling in the missing data on COMPUSTAT with the Moody's sample, the author does not find any significantly different results for book-to-market equity from using the COMPUSTAT sample only. |
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