Journal of Accounting and Economics Vol. 15 No. 2-3 1992
The prediction of stock returns using financial statement information
Abstract
We examine the profitability of a trading strategy which is based on a logit model designed to predict the sign of subsequent twelve-month excess returns from accounting ratios. Over the 1978–1988 period, the average annual excess return produced by the trading strategy ranges between 4.3% and 9.5%, depending on the specific measure of excess return and weighting scheme involved. However, our implementation of the Ou and Penman (1989) trading strategy in the 1978–1988 period, which is based on a logit model that predicts subsequent unexpected earnings- per-share from accounting ratios, does not earn excess returns.
- DOI
- 10.1016/0165-4101(92)90025-w
- Volume
- 15
- Issue
- 2-3
- Pages
- 373-411
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref