Journal of Finance Vol. 50 No. 1 1995
Size and Book-to-Market Factors in Earnings and Returns.
Abstract
The authors study whether the behavior of stock prices, in relation to size and book-to-market equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals persistent poor earnings and low BE/ME signals strong earnings. Moreover, stock prices forecast the reversion of earnings growth observed after firms are ranked on size and BE/ME. Finally, there are market, size, and BE/ME factors in earnings like those in returns. The market and size factors in earnings help explain those in returns but the authors find no link between BE/ME factors in earnings and returns.
- Volume
- 50
- Issue
- 1
- Pages
- 131-55
- Sources
- bibtex:phds-export.bib