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A Reexamination of Firm Size, Book-to-Market, and Earnings Price in the Cross-Section of Expected Stock Returns

Citations

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Cited by:

  1. Chen, Hong-Yi & Lee, Alice C. & Lee, Cheng-Few, 2015. "Alternative errors-in-variables models and their applications in finance research," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 213-227.
  2. Athar Iqbal & Akhtiar Ali & Peter Xavier D’Abreo, 2017. "Fama And French Three Factor Model Application In The Pakistan Stock Exchange (Pse)," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 13(1), pages 1-11.
  3. Abdurofi, Ilmas, 2021. "Capital Gain Predictability Using Financial Ratios: A Case Study of Agribusiness Stocks," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 9(4), October.
  4. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
  5. repec:dau:papers:123456789/2256 is not listed on IDEAS
  6. repec:dau:papers:123456789/3013 is not listed on IDEAS
  7. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
  8. Suchismita Mishra & Richard DeFusco & Arun Prakash, 2008. "Skewness preference, value and size effects," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 379-386.
  9. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 455-475, February.
  10. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 7-97, Wharton School Rodney L. White Center for Financial Research.
  11. Nahzat Abbas & Jahanzeb Khan & Rabia Aziz & Zain Sumrani, 2015. "A Study to Check the Applicability of Fama and French, Three-Factor Model on KSE 100-Index from 2004-2014," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(1), pages 90-100, January.
  12. repec:dau:papers:123456789/2167 is not listed on IDEAS
  13. T.G. Saji, 2018. "Predicting Market Betas," Paradigm, , vol. 22(2), pages 160-174, December.
  14. Kim, Dongcheol & Kim, Tong Suk & Min, Byoung-Kyu, 2011. "Future labor income growth and the cross-section of equity returns," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 67-81, January.
  15. Kryzanowski, Lawrence & Mohsni, Sana, 2013. "Growth of aggregate corporate earnings and cash-flows: Persistence and determinants," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 13-23.
  16. Ghosh, Indranil & Datta Chaudhuri, Tamal & Alfaro-Cortés, Esteban & Gámez Martínez, Matías & García Rubio, Noelia, 2021. "Estimating the relative effects of raw material prices, sectoral outlook and market sentiment on stock prices," Resources Policy, Elsevier, vol. 73(C).
  17. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, August.
  18. repec:dau:papers:123456789/4169 is not listed on IDEAS
  19. Chi‐Hsiou Hung, 2008. "Return Predictability of Higher‐Moment CAPM Market Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 998-1022, September.
  20. Grauer, Robert R. & Janmaat, Johannus A., 2004. "The unintended consequences of grouping in tests of asset pricing models," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2889-2914, December.
  21. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 198-227.
  22. Argiro Svingou, 2013. "Cross-sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 63(1-2), pages 100-120, June.
  23. repec:dau:papers:123456789/9237 is not listed on IDEAS
  24. António Miguel Martins & Ana Paula Serra, 2012. "Real Estate Market Risk in Bank Stock Returns: Evidence for 15 European Countries," CEF.UP Working Papers 1203, Universidade do Porto, Faculdade de Economia do Porto.
  25. Lau, Sie Ting & Lee, Chee Tong & McInish, Thomas H., 2002. "Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 207-222, July.
  26. Athar Iqbal & Akhtiar Ali & Peter Xavier D’Abreo, 2017. "Fama And French Three Factor Model Application In The Pakistan Stock Exchange (Pse)," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 13(1), pages 13-11.
  27. Chi‐Hsiou Hung, 2008. "Return Predictability of Higher‐Moment CAPM Market Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 998-1022, September.
  28. Hammad, Siddiqi & Austin, Murphy, 2020. "Optimal Resource Allocation in the Brain and the Capital Asset Pricing Model," MPRA Paper 102705, University Library of Munich, Germany.
  29. Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
  30. Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
  31. Chi-Hsiou Hung, 2007. "Return Explanatory Ability and Predictability of Non-Linear Market Models," Working Papers 2007_05, Durham University Business School.
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