search query: @indexterm price earnings ratios / total: 45
reference: 29 / 45
| Author: | Jaffe, J. Keim, D. B. Westerfield, R. |
| Title: | Earnings yields, market values, and stock returns. |
| Journal: | Journal of Finance
1989 : MAR, VOL. 44:1, p. 135-148 |
| Index terms: | PRICE EARNINGS RATIOS PORTFOLIO MANAGEMENT REGRESSION ANALYSIS |
| Language: | eng |
| Abstract: | Earlier evidence concerning the relation between stock returns and the effects of size and earnings to price ratio is not clear cut. These two effects are reexamined with a substantially longer period, 1951-1986, using data that are reasonably free of survivor biases, considering both portfolio and seemingly unrelated regression tests, and finally, putting the emphasis on the important differences between January and other month. Over the entire period, the earning yield effect is significant in both January and the other eleven months. Conversely, the size effect is significantly negative only in January. Evidence of consistently high returns for firms of all sizes with negative earnings is found. |
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