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Low Price, Price-Earnings Ratio, Market Value, and Abnormal Stock Returns

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  • Tseng, Kuo C

Abstract

In this research, the individual and net effects of low price, low price/earnings ratio, and small size on the risk-adjusted excess returns are investigated for the fourth quarter of 1975 to the fourth quarter of 1985. The entire sample is divided into quintiles, and th e resulting portfolios are rebalanced at the end of each quarter. Low price, low price/earnings ratio, and small value portfolios experience greater excess returns. By applying the experimental control technique, the net effect of stock price is significant after controlling the size. Similarly, the net effect of the market value is significant after controlling either the stock price or the market value. Copyright 1988 by MIT Press.

Suggested Citation

  • Tseng, Kuo C, 1988. "Low Price, Price-Earnings Ratio, Market Value, and Abnormal Stock Returns," The Financial Review, Eastern Finance Association, vol. 23(3), pages 333-343, August.
    • Handle: RePEc:bla:finrev:v:23:y:1988:i:3:p:333-43
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    Cited by:

    1. Senarathne Chamil W. & Long Wei, 2019. "Industry Competition and Common Stock Returns," Management Sciences. Nauki o Zarządzaniu, Sciendo, vol. 24(3), pages 24-35, September.
    2. Said Elfakhani, 1993. "Portfolio Performance And The Interaction Between Systematic Risk, Firm Size And Price‐Earnings Ratio: The Canadian Evidence," Review of Financial Economics, John Wiley & Sons, vol. 3(1), pages 51-69, September.
    3. Srikanth Potharla & Surya Kumari Turubilli & Mylavaram Chandra Shekar, 2024. "The Social Pillar of ESG: Exploring the Link Between Social Sustainability and Stock Price Synchronicity," Indian Journal of Corporate Governance, , vol. 17(1), pages 130-152, June.

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