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Firm size and book-to-market ratios are both highly correlated with the returns of common stocks. Fama and French (1993) have argued that the association between these firm characteristics and their stock returns arises because size and book-to-market ratios are proxies for non-diversifiable...
Persistent link: https://www.econbiz.de/10012774977
This paper explains why investors are likely to be overconfident and how this behavioral bias affects investment decisions. Our analysis suggests that investor overconfidence can potentially generate stock return momentum and that this momentum effect is likely to be the strongest in those...
Persistent link: https://www.econbiz.de/10012775020
Japanese stock returns are even more closely related to their book-to-market ratios than are their U.S. counterparts, and thus provide a good setting for testing whether the return premia associated with these characteristics arise because the characteristics are proxies for covariance with...
Persistent link: https://www.econbiz.de/10012788871
Firm sizes and book-to-market ratios are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that the association between these characteristics and returns arises because the characteristics are proxies for non-diversifiable factor risk. In contrast,...
Persistent link: https://www.econbiz.de/10012757442
Firm size and book-to-market ratios are both highly correlated with the returns of common stocks. Fama and French (1993) and others have argued that the association between these firm characteristics and their stock returns arises because size and book-to-market ratios are proxies for...
Persistent link: https://www.econbiz.de/10012757461
We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...
Persistent link: https://www.econbiz.de/10012762814
Previous empirical studies suggest a negative relationship between prior 3-5 year fundamental performance and future returns: distressed firms outperform more profitable firms. In fact, we show here that after controlling for past stock returns firms with higher past fundamental returns actually...
Persistent link: https://www.econbiz.de/10012715039