Abstract
ABSTRACT We study whether the behavior of stock prices, in relation to size and book‐to‐market‐equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals persistent poor earnings and low BE/ME signals strong earnings. Moreover, stock prices forecast the reversion of earnings growth observed after firms are ranked on size and BE/ME. Finally, there are market, size, and BE/ME factors in earnings like those in returns. The market and size factors in earnings help explain those in returns, but we find no link between BE/ME factors in earnings and returns.
Keywords
EarningsEarnings response coefficientEquity (law)EconomicsPrice–earnings ratioEarnings growthStock (firearms)Earnings yieldPost-earnings-announcement driftFinancial economicsStock marketMonetary economicsEarnings per shareFinance
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Publication Info
- Year
- 1995
- Type
- article
- Volume
- 50
- Issue
- 1
- Pages
- 131-155
- Citations
- 3156
- Access
- Closed
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Cite This
Eugene F. Fama,
Kenneth R. French
(1995).
Size and Book‐to‐Market Factors in Earnings and Returns.
The Journal of Finance
, 50
(1)
, 131-155.
https://doi.org/10.1111/j.1540-6261.1995.tb05169.x
Identifiers
- DOI
- 10.1111/j.1540-6261.1995.tb05169.x