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| Author: | Bartholdy, J. |
| Title: | Changes in earnings-price ratios and excess returns: a case of investor over-reaction. |
| Journal: | International Review of Financial Analysis
1998 : VOL. 7:3, p. 237-252 |
| Index terms: | Market efficiency Stock exchanges Shareholders Profit Estimation |
| Language: | eng |
| Abstract: | In this paper data from the Toronto Stock Exchange is used to show that investor over-reaction to new information means that changes in earnings-price ratios can be used to predict future returns on stocks. Finally, it is shown that this effect is independent of the more traditional EP ratios, size and book to market effects present in financial markets. |
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