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The Usefulness of Book‐to‐Market and ROE Expectations for Explaining UK Stock Returns
16 references·4 citing·25 second hopsampled
The Usefulness of Book‐to‐Market and ROE Expectations for Explaining UK Stock Returns (2007)The Usefulness of Book‐to‐Market and ROE …Expected EPS and EPS Growth as Determinantsof Value (2005)Expected EPS and EPS Growth a…PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)PE Ratios, PEG Ratios, and Es…Momentum, Business Cycle, and Time‐varying Expected Returns (2002)Momentum, Business Cycle, and…Toward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Can book-to-market, size and momentum be risk factors that predict economic growth? (2000)Can book-to-market, size and …An empirical assessment of the residual income valuation model (1999)An empirical assessment of th…Expectations and the Cross-Section of Stock Returns (1996)Expectations and the Cross-Se…Valuation and Clean Surplus Accounting for Operating and Financial Activities* (1995)Valuation and Clean Surplus A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Earnings, Book Values, and Dividends in Equity Valuation* (1995)Earnings, Book Values, and Di…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Book-to-Market Ratio, return on equity and Brazilian Stock Returns (2018)Book-to-Market Ratio, return …Do Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock Market (2015)Do Extreme Returns Matter in …The Return of the Size Anomaly: Evidence from the German Stock Market (2010)The Return of the Size Anomal…The accruals anomaly – can implementable portfolio strategies be developed that are profitable net of transactions costs in the UK? (2009)The accruals anomaly – can im…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)The Theory and Measurement of Business Income (1961)Capital markets research in accounting (2001)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)The Behavior of Stock-Market Prices (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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The cost of capital, corporation finance and the theory of investment (2008)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Disclosure, Liquidity, and the Cost of Capital (1991)Environmental Externalities and Cost of Capital (2014)Investor Sentiment and the Cross‐Section of Stock Returns (2006)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1995Earnings, Book Values, and Dividends in Equity Valuation*5,061 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1995Valuation and Clean Surplus Accounting for Operating and Financial Activities*2,224 cited
  • 2001Toward an Implied Cost of Capital2,004 cited
  • 2004PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital1,749 cited
  • 2005Expected EPS and EPS Growth as Determinantsof Value1,414 cited
  • 2000Can book-to-market, size and momentum be risk factors that predict economic growth?1,012 cited
  • 1996Expectations and the Cross-Section of Stock Returns982 cited
  • 1999An empirical assessment of the residual income valuation model

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918 cited
  • 2002Momentum, Business Cycle, and Time‐varying Expected Returns812 cited
  • Cited by

    • 2018Book-to-Market Ratio, return on equity and Brazilian Stock Returns41 cited
    • 2010The Return of the Size Anomaly: Evidence from the German Stock Market41 cited
    • 2015Do Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock Market24 cited
    • 2009The accruals anomaly – can implementable portfolio strategies be developed that are profitable net of transactions costs in the UK?23 cited