Dorey, John; Kim, Sangwan; Shin, Yong-Chul - In: Managerial Finance 43 (2017) 4, pp. 406-424
Purpose The purpose of this paper is to examine whether abnormal returns to a fundamental signal (FS) strategy disappear after the publication of Abarbanell and Bushee (1998). Design/methodology/approach Using data on NYSE/AMEX firms from 1974 to 2012, this research estimates annual Fama and...