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Donald Keim (1983)
SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical EvidenceJournal of Financial Economics, 12
Philip (1983)
New Evidence on the Nature of Size-Related Anomalies in Stock PricesJournal of Financial Economics, 12
T. Cook, Michael Rozeff (1984)
Size and Earnings/Price Ratio Anomalies: One Effect or Two?Journal of Financial and Quantitative Analysis, 19
H. Stoll, R. Whaley (1983)
Transaction costs and the small firm effectJournal of Financial Economics, 12
R. Banz, W. Breen (1986)
Sample‐Dependent Results Using Accounting and Market Data: Some EvidenceJournal of Finance, 41
R. Banz (1981)
The relationship between return and market value of common stocksJournal of Financial Economics, 9
M. Blume, R. Stambaugh (1983)
BIASES IN COMPUTED RETURNS An Application to the Size EffectJournal of Financial Economics, 12
E. Fama, James MacBeth (1973)
Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 81
S. Nicholson (1960)
Price-Earnings RatiosFinancial Analysts Journal, 16
Marc Reinganum (1981)
Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market valuesJournal of Financial Economics, 9
M. Blume (1980)
Stock Returns and Dividend Yields: Some More EvidenceThe Review of Economics and Statistics, 62
M. Blume, Frank Husic (1973)
Price, Beta, and Exchange ListingJournal of Finance, 28
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
Donald Keim (1985)
Dividend yields and stock returns: Implications of abnormal January returnsJournal of Financial Economics, 14
ABSTRACT Earlier evidence concerning the relation between stock returns and the effects of size and earnings to price ratio (E/P) is not clear‐cut. This paper re‐examines these two effects with (a) a substantially longer sample period, 1951–1986, (b) data that are reasonably free of survivor biases, (c) both portfolio and seemingly unrelated regression tests, and (d) an emphasis on the important differences between January and other months. Over the entire period, the earnings yield effect is significant in both January and the other eleven months. Conversely, the size effect is significantly negative only in January. We also find evidence of consistently high returns for firms of all sizes with negative earnings.
The Journal of Finance – Wiley
Published: Mar 1, 1989
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