This study presents evidence that the marginal response of stock price to unexpected earnings declines as the absolute magnitude of unexpected earnings increases. Most previous ...
ABSTRACT This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant p...
ABSTRACT This paper relates cross‐sectional differences in returns on Japanese stocks to the underlying behavior of four variables: earnings yield, size, book to market ratio, a...
ABSTRACT Two easily measured variables, size and book‐to‐market equity, combine to capture the cross‐sectional variation in average stock returns associated with market β , size...
The disclosure of corporate forecasts of projected annual earnings was a topic of intensive debate within the investment community during the years 1970-75. Questions of accurac...
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