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John Peavy, D. Goodman (1983)
The significance of P/Es for portfolio returns, 9
R. Banz (1981)
The relationship between return and market value of common stocksJournal of Financial Economics, 9
S. Basu (1983)
The relationship between earnings' yield, market value and return for NYSE common stocks: Further evidenceJournal of Financial Economics, 12
S. Basu (1977)
Investment Performance of Common Stocks in Relation to their Price-Earnings Ratios
R. Ball, P. Brown (1968)
An empirical evaluation of accounting income numbersJournal of Accounting Research, 6
Marc Reinganum (1981)
Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market valuesJournal of Financial Economics, 9
H. Theil (1971)
Principles of econometrics
ABSTRACT Studies relating accounting and price data often use the COMPUSTAT or related PDE data base as the source for the accounting data. This practice may introduce a look‐ahead bias and an ex‐post‐selection bias into the study. We examine this problem by comparing results from the standard COMPUSTAT data base with those from a data base which suffers from neither bias. We find that rates of return from portfolios chosen on the basis of accounting data from the two data bases differ significantly. Further, we find that these differences imply different conclusions when we test a specific hypothesis relating accounting and price data. Finally, we propose a number of remedies which may reduce the bias when the standard COMPUSTAT data base is used.
The Journal of Finance – Wiley
Published: Sep 1, 1986
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