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Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia
16 references·9 citing·34 second hop
Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia (2002)Stock returns and beta, firms size, E/P, …Expectations and the Cross-Section of Stock Returns (1996)Expectations and the Cross-Se…The Conditional Relation between Beta and Returns (1995)The Conditional Relation betw…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence (1994)The Cross-Section of Realized…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Beta and Return (1993)Beta and ReturnThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Earnings Yields, Market Values, and Stock Returns (1989)Earnings Yields, Market Value…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Does ESG disclosure really influence the firm performance? Evidence from India (2024)Does ESG disclosure really in…How do female CEOs affect corporate environmental policies? (2022)How do female CEOs affect cor…Market multiples and stock returns among emerging and developed financial markets (2020)Market multiples and stock re…Exploring the Relationship between Financial Ratios and Market Stock Returns (2018)Exploring the Relationship be…Impact of financial ratios and technical analysis on stock price prediction using random forests (2017)Impact of financial ratios an…The Smallest Firm Effect: An International Study (2011)The Smallest Firm Effect: An …Stock Return Predictability with Financial Ratios (2011)Stock Return Predictability w…The cross section of expected stock returns in the Chinese A-share market (2006)The cross section of expected…Common risk factors in returns in Asian emerging stock markets (2005)Common risk factors in return…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)Common risk factors in the returns on stocks and bonds (1993)Is the Risk of Bankruptcy a Systematic Risk? (1998)What Drives Firm‐Level Stock Returns? (2002)Predicting returns with financial ratios (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Size-related anomalies and stock return seasonality (1983)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Efficient Capital Markets: II (1991)Momentum Strategies (1996)Accounting valuation, market expectation, and cross-sectional stock returns (1998)Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Inefficient Markets (2000)Are Insider Trades Informative? (2001)The Value Premium (2005)Illiquidity and stock returns: cross-section and time-series effects (2002)Editor's Choice Digesting Anomalies: An Investment ApproachFurther Evidence On Investor Overreaction and Stock Market Seasonality (1987)Investor Psychology and Asset Pricing (2001)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 1994Contrarian Investment, Extrapolation, and Risk1,354 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1996Expectations and the Cross-Section of Stock Returns982 cited
  • 1993Beta and Return588 cited
  • 1995The Conditional Relation between Beta and Returns528 cited
  • 1989Earnings Yields, Market Values, and Stock Returns497 cited
  • 1994The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence391 cited
  • 1991

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Fundamentals and Stock Returns in Japan
353 cited

Cited by

  • 2011The Smallest Firm Effect: An International Study79 cited
  • 2006The cross section of expected stock returns in the Chinese A-share market73 cited
  • 2024Does ESG disclosure really influence the firm performance? Evidence from India72 cited
  • 2011Stock Return Predictability with Financial Ratios71 cited
  • 2005Common risk factors in returns in Asian emerging stock markets56 cited
  • 2018Exploring the Relationship between Financial Ratios and Market Stock Returns46 cited
  • 2022How do female CEOs affect corporate environmental policies?44 cited
  • 2017Impact of financial ratios and technical analysis on stock price prediction using random forests42 cited
  • 2020Market multiples and stock returns among emerging and developed financial markets34 cited