Lin, Yan-Ting; Gong, Shang-Chi; Wu, Sou-Shan; Lee, Tsung-Pei - In: Emerging Markets Finance and Trade 48 (2012) 1, pp. 117-131
This study investigates the mean-reversion characteristic in firm-specific earnings-to-price ratios (E/P ratios) and proposes two investment strategies based on the detected mean-reversion feature of E/P ratios. We differentiate our study from other research by analyzing firm-specific time...