haku: @author Peterson, D. / yhteensä: 12
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| Tekijä: | Fant, L. Peterson, D. |
| Otsikko: | The effect of size, book-to-market equity, prior returns, and beta on stock return: January versus the remainder of the year |
| Lehti: | Journal of Financial Research
1995 : SUMMER, VOL. 18:2, p. 129-142 |
| Asiasana: | STOCK RETURNS ECONOMICS FINANCE |
| Kieli: | eng |
| Tiivistelmä: | Size and book-to-market equity are shown to transcend beta in explaining stock returns. One possible explanation of the book-to-market equity effect is overreaction. The authors investigate the effect of size, book-to-market equity, prior returns and beta on stock returns. They find significant reversals in January consistent with overreaction. They also find a strong positive relation between returns and prior returns for february through December. |
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