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The Investment Performance of Common Stocks in Relation to Their Price/Earnings Ratio: A Test of the Efficient Market Hypothesis
Abstract
Faculty of Business, McMaster University. The author is indebted to Professors Harold Bierman, Jr., Thomas R. Dyckman, Roland E. Dukes, Seymour Smidt, Bernell K. Stone, all of Cornell University, and particularly to this Journal's referees, Nancy L. Jacob and Marshall E. Blume, for their very helpful comments and suggestions. Of course, any remaining errors are the author's responsibility. Research support from the Graduate School of Business and Public Administration, Cornell University is gratefully acknowledged.
... The theoretical foundation of money management relies on the Kelly criterion (KC) for capital allocation and the optimization of position management [1,8,9]. According to the KC, gamblers should first identify betting opportunities that present a positive mathematical expectation, indicating a positive expected profit [10,11]. Regarding the application of the KC to American roulette, it results in a negative expectation. ...
... It indicates that the growth is optimized to 26% growth when the investment portion is 18.2% (i.e., f * = 0.182) within the specified conditions. From (11), we obtain the following: ...
... Alternatively, the KC could be employed for more effective investment. From (11), the fraction of the blackjack bet can be defined as follows: ...
This article introduces an innovative extension of the Kelly criterion, which has traditionally been used in gambling, sports wagering, and investment contexts. The Kelly criterion extension (KCE) refines the traditional capital growth function to better suit dynamic market conditions. The KCE improves the traditional approach to accommodate the complexities of financial markets, particularly in stock and commodity trading. This innovative method focuses on crafting strategies based on market conditions and player actions rather than direct asset investments, which enhances its practical application by minimizing risks associated with volatile investments. This paper is structured to first outline the foundational concepts of the Kelly criterion, followed by a detailed presentation of the KCE and its advantages in practical scenarios, including a case study on its application to blackjack strategy optimization. The mathematical framework and real-world applicability of the KCE are thoroughly discussed, demonstrating its potential to bridge the gap between theoretical finance and actual trading outcomes.
... The P/E ratio has been used to evaluate investment quality-stocks having relatively low P/E ratio is assumed to have better investment performance standing over that with high P/E ratio in terms of valuable investment opportunity (Sezgin, 2010;Basu, 1977). According to Anderson and Brooks (2006) low P/E ratio is associated with mature, stable and moderate growth potential sectors while high P/E ratios can be found in relatively young and fast growing sectors.Average P/E ratios of group of firms tend to maintain their rank over time within their industry classes (Mantripragada, 1979). ...
... This may however, be due to temporary factors peculiar to the firm, which may cause low earnings growth rate or increasing risk (see : Beaver & Morse, 1978). Furthermore, in terms of valuable investment opportunities, firms with low price-earnings ratio is preferred to the ones with high P/E ratio (Sezgin, 2010;Basu, 1977). This is particularly true because, firms with little earnings would probably depict higher P/E ratio and investors would be more cautious to make investment, except for loss or very low profit making firms. ...
... The implications of the results at the 25 th and 50 th percentiles distribution should be taken with caution. On one hand, it is argued that firms having higher price-earnings ratio are considered to have significant prospects for growth (Hillier et al., 2010) and on the other hand, in terms of valuable investment opportunities, it is argued that stocks with relatively low price-earnings ratio is preferred to one with high price-earnings ratio (Sezgin, 2010;Basu, 1977). Furthermore, given that low P/E ratio is associated with mature, stable and moderate growth potential sector, potential investors are in the best position to advise themselves. ...
The study examines the determinants of price-earnings ratio using 47 non-financial firms listed in the Nigerian Stock Exchange over the period 2012 to 2016. The essence of the study is to suggests alternative way of valuing stock by investors. Using quantile regression and pooled regression models, the study finds that the independent variables explained more of the systematic variation in P/E ratio at the 25th percentile. Dividend pay-out ratio, share price and dividend per share were statistically significant to explain P/E ratio at the 25th, 50th and 75th percentiles. At the 25th percentile, dividend per share has significantly negative impacts on P/E ratio while dividend pay-out ratio, profitability, market return, average share price and total dividend paid has positively significant impacts on P/E ratio. at the 50th percentile, dividend pay-out ratio, profitability, average share price and firm size has significantly positive impacts on P/E ratio while earnings per share and dividend per share has significantly negative influence on P/E ratio. at the 75th percentile, earnings growth rate has significantly negative impacts on P/E ratio while dividend pay-out ratio and average share price has positively significant effects onP/E ratio.
... The price-to-earnings (P/E) ratio is a widely recognized predictor of a security's potential return on investment. According to the price ratio hypothesis (Basu 1977), investors should choose low P/E equities over high P/E stocks. The PEG ratio, which is the ratio of price-to-earnings growth, is often used as a foundation for stock recommendations and evaluating predicted rates of return by combining prices with the projections of earnings and earnings growth (Easton 2004). ...
... Banz (1981) found that investing in undervalued or undercapitalized enterprises can yield superior profits, which is known as the "size effect" or "small firm effect". Basu (1977) confirmed that investors in the stocks of companies with low P/E ratios had higher returns. Additionally, the research has shown that people's moods and dispositions can affect their investment decisions. ...
This study examines the day-of-the-week effect on the returns of different classifications of South African REITs. Ordinary least squares regression (OLS), generalized autoregressive conditional heteroskedasticity (GARCH) (1,1) (2,1), and Kruskal–Wallis (KW) tests were performed on data obtained from the IRESS Expert database from 2013 to 2021. We found statistical differences in the day-of-the-week effects for SAREITs; the best day to invest in office REITs is Friday, for diversified REITs Thursday, and for industrial REITs Friday. Generally, Wednesday was found to be the least profitable day to invest in all REIT classifications because it had the least average daily return. Tuesdays were the most profitable days for all REIT classifications, with the highest average daily return. REITs traded the most on Fridays, while REITs traded the least on Mondays. Returns were the most volatile on Monday, while volume was the least volatile on Thursday. The KW test revealed a statistically significant difference between the median returns across days of the week. Based on the above, profitability is expressed on Tuesdays in South African REITs. By recognizing the day-of-the-week effect, investors can buy and sell South African REITs more effectively. This study, apart from being the first in the context of South African REITs, provides updated evidence of the contested calendar anomaly issues.
... However, since the 1970s, academics in related fields have begun to focus on new portfolio theory. For instance, Basu (1977) found that stocks with a low Price to Earnings Ratio (P/E Ratio) would have a superior value [1]; in 1983, it was found that stocks of companies with a low PE investment had greater return rates [2], even after properly accounting for the scale impact. In 1981, Banz examined and reached a conclusion regarding the Size Effect, often known as the little market value Effect. ...
... However, since the 1970s, academics in related fields have begun to focus on new portfolio theory. For instance, Basu (1977) found that stocks with a low Price to Earnings Ratio (P/E Ratio) would have a superior value [1]; in 1983, it was found that stocks of companies with a low PE investment had greater return rates [2], even after properly accounting for the scale impact. In 1981, Banz examined and reached a conclusion regarding the Size Effect, often known as the little market value Effect. ...
... While initial empirical tests proved the theory to be solid, later empirical findings pointed to the inconsistencies of the theory. One major criticism came from Basu (1977) who discovered an unexplained positive correlation of US shares between the earnings to price ratio (P/E ratio) and the average return. Banz (1981) also found a non-positive relationship between market capitalization and average return, something that the CAPM does not factor in. ...
... Francis (Nicholson, 1960) was the first to find stocks that have a low price-to-earnings ratio generate greater returns in comparison to ones that have a high price-to-earnings ratio. Later, this finding was confirmed through testing by Ball (1978) and Basu (1977). French (1992, 2014) used book-tomarket to capture the effect of value factor on excess stock return. ...
In general, contemporary finance theories agree that the Fama and French Five-Factor model provides a more comprehensive explanation for average stock returns compared to its predecessors. Previous research on the five-factor model in Indonesia has yielded inconclusive results, and none of the studies has attempted to compare the significance of the five factors over shorter and longer periods, or even within shorter periods. As a result, the researchers of this study endeavor to ascertain the importance of the five elements – the profitability (RMW), market, size (SMB), profitability (RMW), book-to-market (HML), and investment (CMA) factors – to an excess return on the portfolio over shorter and longer periods. The findings indicate that SMB and CMA factors exhibit statistically insignificant, significantly negative, and significantly positive correlations with excess portfolio return, respectively, over the three shorter periods and the longer period. A significant negative correlation is observed between the HML factor and excess portfolio return over the longer period, while the relationship is deemed insignificant over the three shorter periods. No significant relationship was found between the RMW factor and excess portfolio return over the (2005-2019) period and two (2010-2014, 2015-2019) periods, but one shorter period is significantly positive.
... This model measures the systematic risk of a stock using its beta coefficient, which refers to the sensitivity of the return of a particular stock to the market portfolio. The CAPM model was challenged by Basu (1977), who found that CAPM failed to predict returns accurately for stocks with a high price earnings (PE) ratio because it underestimated the returns of those stocks. Banz (1981) also observed that the CAPM underestimated the average return of stocks with smaller market capitalization. ...
Background This study aims to gain insight into the effect of banks’ financial performance on their market performance. We conceptualized the research subject on the assumption that the financial performance of an organization is the most important criterion for triggering movement in its stock price. We explored various models and parameters to evaluate financial performance of banks and found CAMELS being one of the most comprehensive and appropriate model. We considered share price growth of banks to measure their stock market performance Methods We collected financial and stock market data pertaining to 32 listed Indian banks for the period 2018 to 2022. The study has employed multiple linear regression analysis of panel data for evaluating the relationship between independent and dependent variables. We adopted panel regression for data analysis and used the Prais- Winsten regression with panel corrected standard errors, as the data suffers from contemporaneous cross-sectional correlation. Results The results show that net non-performing assets, net interest margins, and return on capital have a significant negative impact on share price growth. The capital adequacy ratio and the current and savings account deposit ratios have a positive insignificant impact. The liquid asset-to-total asset ratio has a negative, insignificant impact. The coefficient of determination indicates that the share price growth of banks is more dependent on other factors which are not included in the regression analysis of this study. Conclusion This study helps investors and bankers understand the limited impact of financial parameters on banks’stock prices and to look for other parameters which explain the stock price movement better.
... The results from the DiD model demonstrate the significance of Revenue and Price-to-Earnings ratio (P/E) in determining stock prices. This reinforces the role of Revenue as an indicator of a company's operating performance (Penman, 2001;Fairfield et al., 2009), and P/E as a predictor of future earnings potential (Basu, 1977;Zhang, 2012). These findings suggest that investors in our data sample place high importance on these factors when assessing a company's value, thereby contributing to our understanding of the determinants of stock prices. ...
This study investigates the relationships between several accounting variables, International Financial Reporting Standards (IFRS) adoption, and stock market prices in Indonesia. The variables of interest include lagged price, book value per share (BVPS), earnings per share (EPS), market capitalization, Revenue, and price-to-earnings (P/E) ratio. We apply multiple regression analysis to examine the influences of these factors on stock prices. Our preliminary findings suggest that EPS and BVPS have a significant positive association with market prices, aligning with existing literature and highlighting the importance of these measures for investors. Additionally, our results indicate that IFRS adoption improves the value relevance of accounting information in the Indonesian market. We also explore potential size-related variations in the impact of IFRS adoption on the value relevance of accounting information. This study contributes to the ongoing debate on the effectiveness of IFRS and provides insights to investors, policymakers, and practitioners about the factors influencing stock prices in Indonesia. Abstrak Penelitian ini menginvestigasi hubungan antara beberapa variabel akuntansi, adopsi Standar Pelaporan Keuangan Internasional (IFRS), dan harga saham di Indonesia. Variabel-variabel yang menjadi perhatian meliputi lagged price, book value per share (BVPS), earnings per share (EPS), kapitalisasi pasar, pendapatan, dan price-to-earnings (P/E). Kami menerapkan analisis regresi berganda untuk menguji pengaruh faktor-faktor ini terhadap harga saham. Temuan awal kami menunjukkan bahwa EPS dan BVPS memiliki hubungan positif yang signifikan dengan harga pasar, sesuai dengan literatur yang ada dan menyoroti pentingnya ukuran-ukuran ini bagi para investor. Selain itu, hasil kami menunjukkan bahwa adopsi IFRS meningkatkan relevansi nilai informasi akuntansi di pasar Indonesia. Kami juga mengeksplorasi variasi potensial yang berkaitan dengan ukuran dalam dampak adopsi IFRS terhadap relevansi nilai informasi akuntansi. Penelitian ini berkontribusi pada perdebatan berkelanjutan tentang efektivitas IFRS dan memberikan wawasan kepada investor, pembuat kebijakan, dan praktisi tentang faktor-faktor yang mempengaruhi harga saham di Indonesia.
... In every monthly rebalancing step, each stock i is assigned its factor-based return expectation Z-score i , which is obtained by the equalweighted mix of six Z-scores. After each rebalancing, the The fundamental value factor was researched in Basu (1977) and Rosenberg et al. (1985). The size factor is also a systematic risk premium and was discovered in Banz (1981). ...
At the beginning of factor investing research, the investment universe concentrated on developed markets and transaction costs were paid little attention. Expensive trading costs of factor investing in emerging equity markets influence optimal portfolio decisions. Based on a total costs estimate of factor-based portfolio tilts, a simple cost-mitigation approach increases net performance. Exploiting the structure of market impact, we indirectly control the costs by limiting order sizes relative to their underlying stocks’ short-term liquidity. This cost-efficient strategy yields better implementability and lower-priced turnover while a possible negative effect on gross performance is more than offset.
... The emergence of the asset pricing anomaly(APA) was gradually discovered with the empirical examination of the efficient-market hypothesis and the asset pricing model(APM). By controlling for the beta of the CAPM, Basu(1977) found that the expected returns of stocks with high-earnings-ratio were higher than those of lowearnings-ratio firms. Stattman(1980) found the "anomaly of book-to-market ratio", that is, companies with higher book-to-market value ratios have higher expected returns on stocks. ...
The traditional finance theories have been foundational in understanding financial markets. However, the discovery of anomalies has posed challenges to the established theories. These anomalies, including the equity premium puzzle, scale effect, overreaction, and reversal effect, have questioned classical finance theories. In response to these challenges, the field of behavioral finance emerged, offering insights into market behavior from the perspective of investor psychology and cognitive biases. Our paper contributes to this ongoing dialogue by examining 37 anomalies in the Chinese stock market. It seeks to understand the existence of these anomalies and evaluate the ability of asset pricing models to explain them. Our findings suggest that these models have substantial explanatory power, offering valuable insights for wealth management institutions in attributing investment performance. We underscores the importance of continuously refining financial theories to better capture the complexities of real-world markets and informs practical investment strategies in an ever-changing landscape.
... Our findings suggest that investors may interpret lower earnings per share as a signal of reduced profitability or growth prospects. This result aligns with studies by (Beaver, 1968;Basu, 1977), which suggest that investors may discount stock prices in response to lower earnings. ...
This research investigates how factors such as Dividends Per Share (DPS), Earnings Per Share (EPS), Price-Earnings Ratio (PER), and Net Worth Per Share influence the Market Price Per Share of commercial banks in Nepal. The study analyzed the panel data from four commercial banks, consisting of 40 observations, to evaluate the correlation and influence of factors affecting stock price movements. In this study, secondary panel data covering ten years (2070/2071-2079/2080) has been used. Based on the results of this investigation, there is a significant positive correlation between the Market Price Per Share and the Dividends Per Share, Price-Earnings Ratio, and Net Worth Per Share but a negligible effect of Market Price Per Share and Earnings Per Share of commercial banks.
... Researchers Basu (1977), Banz (1981) and many others discovered that additional firmspecific characteristics are also associated with a firm's average stock return. According to these research, a company's market capitalization, book-to-market equity ratio, earnings-to-price ratio, cash flow-to-price ratio, and historical sales growth all have an impact on the average stock return. ...
... Basu (1977) showed that P/E ratios are applicable to stock return forecasts. A study with a sample of 1,400 companies for the period of 1956-1971 observed that low P/E securities outperformed high P/E examples by 7% annually. ...
In this study I make an effort to prove that market price signals are less subject to individual behavioural distortion than those sharing the idea of prevailing irrational investor behaviour, and that intrinsic value plays a major role in the market price. With stock market bubbles, the balance between market and intrinsic value temporarily splits: during a crisis many stocks become overvalued, their prices being higher than their intrinsic value. Furthermore, among the reasons for market anomalies short-termism can be mentioned which indirectly leads to misjudgement of the underlying risk as investors pay less attention to low probability outcomes.
... After various pieces of contrary evidence emerged (e.g. Basu, 1977;Rosenberg et al., 1985) regarding the efficient market hypothesis for long-term events, known as anomalies, Fama (1998) conducted an extensive investigation showing that the evidence does not suggest that market efficiency should be abandoned. According to him, anomalies are random outcomes and the apparently exaggerated reaction of stock prices to information. ...
Purpose
This study aims to evaluate the presence of abnormal returns due to stock splits or reverse stock splits in the Brazilian capital market context.
Design/methodology/approach
The event study technique was used on data from 518 events that occurred in a 30-year period (1987–2016), comprising 167 stock splits and 351 reverse stock splits.
Findings
The results revealed the occurrence of abnormal returns around the time the shares began trading stock splits or reverse stock splits at a statistical significance level of 5%. The main conclusion is that stock split and reverse stock split operations represent opportunities for extraordinary gains and may serve as a reference for investment strategies in the Brazilian stock market.
Originality/value
This study innovates by including reverse stock splits, as the existing literature focuses on stock splits, and by testing two distinct “zero” dates that of the ordinary general meeting that approved the share alteration and the “ex” date of the alteration, when the shares were effectively traded, reverse split or split.
... The Finance academic community has dedicated decades to investigating factors, the drivers of equity market returns, as evidenced by numerous studies [17][18][19][20][21]. Harvey et al. [22] revealed that a staggering 316 factors have already been analyzed and published, and at the current rate of discovery, we can expect approximately 600 factors to be identified by 2035. ...
Value Investing stands as one of the most time-honored strategies for long-term equity investment in financial markets, specifically in the domain of stocks. The essence of this approach lies in the estimation of a company's "intrinsic value," which serves as an investor's most refined gage of the company's true worth. Once the investor arrives at an estimation of the intrinsic value for a given company, she proceeds to contemplate purchasing the company's stocks solely if the prevailing market price of the stocks significantly deviates below the estimated intrinsic value, thus presenting an enticing buying opportunity. This deviation, referred to as the "margin of safety," represents the disparity between the intrinsic value and the current market capitalization of the company. Within the scope of this endeavor, our objective is to automate the stock selection process for value investing across a vast spectrum of US companies. To accomplish this, we harness a combination of value-investing principles and quality features derived from historical financial reports and market capitalization data, thereby enabling the identification of favorable value-driven opportunities. Our methodology entails the utilization of an ensemble of classifiers, where the class is determined as a function of the margin of safety. Consequently, the model is trained to discern stocks that exhibit value characteristics warranting investment. Remarkably, our model attains a success rate surpassing 80%, effectively identifying stocks capable of yielding an annualized return of 15% within a three-year timeframe from the recommended stock purchase date provided by the model.
... This ratio serves as a link between the firm's financial performance company and shareholders. The Earnings Yield ratio has been examined in vast research, although using the inverse which is the Price-to-Earnings ratio (Basu 1977;Aydogan and Gürsoy 2000;Beaver and Morse 1978;Cho 1994;Foster 1970;Kane et al. 1996;Constand et al. 1991;White 2000;Zarowin 1990;Zorn et al. 2009). The Earnings Yield ratio is calculated as follows. ...
Financial signaling and stock return synchronicity may not be at crossroads. This paper optimizes the signaling effect of firms’ financial indicators on stock return synchronicity. The ultimate objective is to align firms’ financial signaling and stock return synchronicity, which implies a benefit of hedging against fluctuations in the stock market index. The data cover quarterly periods from June 1992 to March 2022 for the non-financial firms listed in the DJIA30 and NASDAQ100. This paper examines the observed return synchronicity as the dependent variable. The independent variables are classified into six groups namely, Solvency (or Liquidity) ratios, Assets Efficiency ratios, Expense Control ratios, Debt (or Leverage) ratios, Profitability ratios, and Dividend ratios. The analysis is conducted on two different groups. The first group examines the observed firms’ financials that affect observed stock return synchronicity. The second group examines optimal firms’ financials that help optimize stock return synchronicity. The final results show that (a) current stock return synchronicity is affected positively by cash ratio, and negatively by receivables and historical growth of earnings; (b) optimal stock return synchronicity can be elevated using significant financial indicators namely, Inventory/Current Assets, Net Working Capital/Total Assets, Net worth/Fixed Assets, and Sales Annual Growth; (c) agency conflicts between managers and shareholders can be mitigated by the aforementioned financial indicators, which do not include debt financing being the common source of agency conflicts; and (d) dividends are still insignificant to stock return synchronization.
... EVA is seen as a tool for firm management to create value and was specifically defined by Stern Stewart and Company in 2002 as a fundamental measure for determining share value. Using modified accounting indicators to market value for investment strategies has been considered the best approach to achieve abnormal returns (Basu, 1977). Banz (1981) demonstrated a relationship between a firm's size and stock returns, while Cook and Rozeff (1984) and Fama (1992) explored the impact of the E/P ratio and firm size on stock performance. ...
This research examines the value relevance of real profit using Economic Value Added (EVA) as a proxy versus accounting outcomes. The question at hand is whether the usefulness of real income numbers is superior to accruals (traditional performance indicators) for Palestinian corporations. This research utilized an experimental research design to gather panel data from the reported annual data of 31 non-financial listed corporations on the PEX from 2015 to 2019. Descriptive statistics and the Jarque–Bera test were used, along with a Nonparametric Spearman's rho Correlations test to evaluate linear relationships between variables. The Random Effect Model (REM) was used based on the Correlated Random Effects - Hausman Test to establish a concrete research model. The findings demonstrate that the market values of shares have a strong relationship with traditional measures, where the relative informativeness ability of accounting indicators is greater than the informativeness ability of real income. The study suggests using EVA as a supplement, not a replacement, for the current traditional accounting performance measurements. Future studies can compare the effect of real income and accounting indicators on a variable other than stock market value. As a policy implication, we advise users in Palestine to consider accruals but economic income indicators as supplementary. This paper is the first in Palestine to use advanced econometric analysis that establishes concrete findings about the conflict between Accounting-Based versus Economic-Based indicators.
... Other studies have argued that beta is not the only factor that affects asset prices or stock return. For instance, Basu (1977) reported that earning price ratio explains returns on risky assets, Banz (1981) proved that size factor and market capitalization are important in explaining asset prices and returns of risky assets. Also, Bhandari (1988) explains that debt-equity ratio is relevant in explaining returns of risky assets. ...
Climate risk represents an increasingly vital issue to countries, companies, and institutional investors, making it a reality but not a distant threat to humanity. Considering the effects of climate risks on firms' financial indices and financing options, the study investigates whether climate risk is priced by the capital markets of South Africa. The study used reported carbon emissions as a measure of climate risk of 81 listed companies in the Johannesburg Stock Exchange from 2011 to 2020 to examine whether climate risk is considered and priced by the South Africa capital market. Data was sourced from DataStream database- a global financial and macroeconomic time-series database providing data on equities, stock market indices, currencies, company fundamentals, fixed income securities, and key economic indicators. We used the two-step system Generalized Method of Moments estimation technique that copes with endogeneity concerns to corroborate the effects of climate risk on cost of capital and capital structure. We find that climate risk is priced in both cost of debt capital and cost of equity capital. Specifically, we find that an increase in a firm's exposure to climate risk increases the cost associated with issuing debt and equity capital. We also find that climate risk exposure decreases the debt-equity ratio. Additionally, the study showed that firm size, leverage ratio, capitalization, profitability, and turnover affect both cost of capital and capital structure of listed firms. The study concludes that climate risk is priced in cost of financing in the capital market of South Africa. The study recommends that firms should invest in installing eco-friendly machinery that aligns with changing market expectations in order to reduce their carbon emissions. The study therefore highlights the need for companies to proactively assess and manage climate risks, incorporate climate considerations into their strategic decision-making, and enhance their resilience to climate-related challenges.
... During the past few years, there have been several studies indicating that value stocks could outperform growth stocks (Bondt, & Thaler, 1985). Basu (1977) is believed to be the first who reported that low price-to-earnings (P/E) US stocks called value stocks may preserve higher average returns than firms with high P/E stocks called growth stocks. Chan et al. (1991) also reported a similar trend in value stocks using Japanese data. ...
This paper presents an empirical investigation to determine whether or there is any difference between the returns of two value and growth portfolios, sorted by price-to-earnings (P/E) and price-to-book value (P/BV), in terms of the ratios of market sensitivity to index (β), firm size and market liquidity in listed firms in Tehran Stock Exchange (TSE) over the period 2001-2008. The selected firms were collected from those with existing two-consecutive positive P/E and P/BV ratios and by excluding financial and holding firms. There were five independent variables for the proposed study of this paper including P/E, P/B, market size, market sensitivity beta (β) and market liquidity. In each year, we first sort firms in non-decreasing order and setup four set of portfolios with equal firms. Therefore, the first portfolio with the lowest P/E ratio is called value portfolio and the last one with the highest P/E ratio is called growth portfolio. This process was repeated based on P/BV ratio to determine value and growth portfolios, accordingly. The study investigated the characteristics of two portfolios based on firm size, β and liquidity. The study has implemented t-student and Levin's test to examine different hypotheses and the results have indicated mix effects of market sensitivity, firm size and market liquidity on returns of the firms in various periods. Growing Science Ltd. All rights reserved. 7
... The EMH states that financial assets are priced fairly (i.e., efficiently) if their price incorporates all available information. Despite short-term deviations, financial researchers tend to agree towards weak or semi-strong form of market efficiency, whereby asset prices reflect all public information (Basu, 1977;Busse & Green, 2002;Basse et al., 2021;Chordia et al., 2008;Dimson & Mussavian, 1998;Jarrow & Larsson, 2012;Lim & Brooks, 2011;Rösch et al., 2017;Schwert, 2003;Yildirim, 2021). However, many researchers note deviations from efficient prices in various settings (e.g., different markets and/or specific time periods). ...
This paper proposes the use of social media as a proxy for financial information. Using an extended sample of 53,580,759 tweets and employing text analysis tools (Latent Dirichlet Allocation and Term Frequency–Inverse Document Frequency), we determine the information being exchanged on any given day. We train machine‐learning classifiers and forecast crypto price movements for more than 8000 cryptocurrencies and gauge market efficiency through successful forecasts based on public information. We propose various metrics of market efficiency for cryptocurrency assets and demonstrate that market efficiency is higher during the first 6 months after the Initial Coin Offering. We also examine the efficiency behavior of individual currencies during crisis periods.
... Based on APT, quantities of inconsistencies have been distinguished in existing writing. Basu (1977) presents value income proportion impact by contending that significant expense-gaining proportion firms have higher expected returns than that of low-value profit proportion firms. As indicated by Klein and Bawa (1977), better yields of the little firms might be because of a deficiency of data concerning little firms and it leads to incomplete expansion and in this way to more significant yields for the unattractive loads of little firms. ...
: The core objective of this study is to examine the sensitivity between market
volatility and profitability of momentum by inducting 50 listed companies on the Dhaka
stock exchange for the period of 2003 to 2021. By extending the theme of this study, the
researcher also examines the relationship between losers and winners of portfolio and
other market factors such as market volatility, momentum, and business cycle movement.
A random base sampling technique has been used to conduct this study. An ordinary
least square (OLS) approach on the basis of time series regression has been inducted to
examine the significance of market volatility, profitability of momentum, and business
cycle movement. This study concludes that, particularly in the negative stage, market
volatility has a significant influence on the scope of momentum profitability.
Furthermore, this study shows the significant existence of both markets (volatility,
momentum) and business cycle variables in Dhaka’s market. After distributing the
market volatility into positive and negative states, we conclude that both have significant
and negative conditions. This study recommended investment and momentum strategies
to both individual and institutional investors on the basis of market volatility and
business cycle movement. This study implies that low momentum profitability can be
predicted in a volatile slow market. This study gives theoretical and empirical insight
into momentum profitability, volatility of the market, and variables linked with business
cycle movement from the perspective of the Dhaka market. The same model and pattern
can be used to check out the consistency in other emerging base countries.
... There are a huge number of studies regarding the value premium in developed markets such as the US, the UK, the European market, etc. Early research was carried out by McWilliams (1966) and Basu (1977). They reveal the existence of the value versus growth anomaly in the US stock market. ...
In recent decades, the Efficient Market Hypothesis has been the subject of debate among professionals and academics. In this hypothesis, the value premium is a key aspect that challenges market efficiency. The main objective of this study is to comprehensively investigate the value versus growth anomaly in the Vietnamese market between 2013 and 2023. Based on the empirical data, value portfolios have yielded a greater average return than growth portfolios in the Vietnamese stock market during this period. Although their levels of market risk (measured by beta) are nearly the same, the added-risk level of value portfolios is substantially higher than growth portfolios. Therefore, the value premium in Vietnam is compensated for bearing a higher risk level, consistent with the risk-based explanation.
... Starting in the late 1970's empirical studies began questioning the validity of CAPM, thus leading to its various alternative versions. First was Basu (1977), who reported that when stocks are sorted on earnings-price (E/P) ratios, future returns on high E/P stocks are higher than predicted by the CAPM. Fama and French (1992) later updated and synthesized the evidence on the empirical failures of the CAPM. ...
This Paper Provides empirical evidence that the Capital Assets Pricing Model can be extended by including accruals quality which is a firm-specific (idiosyncratic) accounting information to improve asset returns prediction accuracy. The idiosyncratic information was proxied by the accruals quality. Analyzing financial data on 42 listed firms in Nigeria within Fama and Macbeth's (1973) regression approach, this paper finds evidence that total accruals quality significantly affects the cost of equity. However, contrary to expectation, the effect of discretionary Accruals Quality was found to be larger than innate Accruals Quality in Nigeria. The paper determines that idiosyncratic information is a priced factor, with the implication that investors price securities in a manner that reflects their awareness of idiosyncratic accounting information. Emanating from the findings, the study recommends that policy makers, lenders and academicians, and all others who wish to predict expected returns (cost of equity) for the economic decision should use the extended CAPM presented in this study to improve the predictive accuracy of expected returns.
... Ross (1976) proposed arbitrage pricing theory and developed a multifactor pricing model based on CAPM. Since then, researchers have found more factors in excess asset returns, such as the price-to-earnings ratio (Basu 1977), market value (Banz 1981), book-to-market ratio (Fama and French 1993), momentum (Carhart 1997), andprofitability (Novy-Marx 2013). With the development of ESG investing, some studies have begun to consider whether ESG is a pricing factor. ...
Using unbalanced panel data on 3326 Chinese listed companies from 2014 to 2021, this study investigates the impact of corporate environmental performance on China’s excess stock returns. The results show that stocks of companies with better environmental performance earn significantly higher excess returns, indicating the existence of green returns in the Chinese stock market. We further reveal that heightened climate-change concerns can boost the stock market’s green returns, while tightened climate policies decrease green returns by increasing long-term carbon risk. Our findings are robust to endogeneity problems and hold great implications for both investors and policymakers.
... EP: The earnings-to-price factor of the equal-weighted return on the 5-1 portfolio from a Basu (1977) sort on historical earnings-price ratios. ...
... Moreover, according to Robert C. Merton (1973), the CAPM's single-dimension approach is insufficient to explain asset returns precisely. In addition, the price-toearnings (P/E) ratio was formerly known as the value effect, which was Basu (1977)'s initial perception. Stattman (1980), instead of using the P/E ratio as a benchmark, uses the Book-to-Market ratio of a company. ...
─ This research paper comprehensively analyzes the correlation between cross-sectional variation in Moroccan stock returns and the underlying behavior of four fundamental variables: size, book-to-market ratio, investment, and profitability. This investigation Citation (APA): Karima, L., Mimoun, B., El bouhadi, A. (2023). Fama and French Five-Factor Asset Pricing Model: Evidence from Moroccan Stock Market. 467 employed on a comprehensive monthly dataset comprising 54 companies listed on the Casablanca Stock Exchange (CSE) between 2009 and 2017. The results of the study indicate that there exists a statistically meaningful impact on the book-to-market ratio, size, and profitability. Nevertheless, the variable of investment exhibits a negative effect. Upon analysis of this study, it has been demonstrated that the Fama-French five-factor model shows inadequacies in its ability to fully discern the cross-sectional nature of stock returns in the CSE. However, compared to the three-factor and four-factor models, the five-factor model presents a greater potential for exposition in assessing assets in the stock market.
The Online Platform for Technician and Plumber Hiring is a digital marketplace designed to streamline the process of connecting individuals and businesses with skilled technicians and plumbers for maintenance and repair services. The platform offers an intuitive interface accessible via web browsers and mobile applications, allowing users to search, compare, and hire technicians and plumbers based on their specific needs and preferences. Service providers create detailed profiles showcasing their qualifications, experience, areas of expertise, and customer reviews, allowing service seekers to evaluate the suitability of technicians and plumbers for their specific requirements. The platform also offers advanced search and filter functionality, allowing users to narrow down their options based on location, services offered, availability, pricing, and ratings. It facilitates seamless booking and scheduling of service appointments, allowing users to specify the date, time, and nature of the required services. Clear pricing and payment information are provided for each service, ensuring transparency and eliminating ambiguity for both service seekers and providers. After service completion, users can rate and provide feedback on the quality of work and customer service received from technicians and plumbers, maintaining accountability and encouraging continuous improvement within the service provider community. The platform also offers customer support services to address inquiries, resolve issues, and facilitate communication between parties if disputes arise during or after service delivery. Mediation mechanisms are in place to ensure fair resolution of conflicts. IndexTerms – HTML, CSS, AngularJs , NodeJs , Bootstrap, MySQL
RojgarIT is a comprehensive IT job portal system facilitating interaction between job seekers and IT companies.Job portals in India are websites where a company can promote their job postings in search of a candidate, or a candidate can apply to find the right job. Job portals are integral to all hiring processes, and using them effectively ensures adequate results. It can help you find the right candidate and the right job.As an employer, your goal is to fill your company with the best people. Using a job portal in your hiring process makes it easier for you to select the best applicant for the job. With this, you’ll have a list of applicants with your required skills, achievements, and experience. The system developed for job seeker and recruiter, The systemprovide intermediate place for job seeker and IT company.RojgarIT serves as a bridge between students seeking opportunities in the IT sector and companies looking to recruit talented individuals. It aims to provide a user-friendly and efficient platform for students to explore job and internship opportunities, interact with companies, and kick-start their careers in the IT industry.User Registration and Profiles: Job seekers and IT companies can register on the platform and create profiles. Job seekers can add their skills, experience, education, and other relevant information, while companies can provide details about their organization, job openings, and requirements. Job Search and Listings: Job seekers can search for IT job listings based on criteria such as location, job title, skills required, experience level, and salary range. The platform provides a comprehensive database of job opportunities in the IT industry.Resume/CV Upload and Management: Job seekers can upload their resumes or CVs to their profiles, making it easier for recruiters to review their qualifications. They can also manage and update their resumes as needed.Application Management: Job seekers can apply to job listings directly through the platform. They can track the status of their applications and receive notifications about any updates or communication from recruiters.Recruitment Tools for Companies:IT companies can post job listings on the platform, specifying job descriptions, requirements, and other details. They can also search and filter through the database of job seeker profiles to find suitable candidates for their job openings. Index term : C#, ASP.NET, HTML5, CSS, ChatGPT, AI Tools,SQL
Wood apple is an edible fruit of Rutaceae family with less exploitation. The fruit pulp is edible and utilized in a variety of international culinary dishes. It has long been a part of traditional medicine. The goal of this review was to provide an overview of this plant's pharmacological potential. This fruit is beneficial against several fatal illnesses, including microbial infections, diabetes, cancer, and hyperlipidemia. It can also be used to relieve pain, ulcers, and diarrhea. Fruit, both ripe and unripe, has potent pharmacological properties. The plant's edible fruits are stomachic, astringent, diuretic, cardiotonic, and tonic for the liver and lungs; the bark is occasionally used to treat biliousness; the aromatic, carminative leaves are used to treat children's minor bowel infections and indigestion; and the roots are occasionally given to treat snakebites. The primary antioxidants with medicinal potential are flavonoids and phenolic compounds. The present review covers the latest developments in pharmacognosy, the diverse uses of this fruit in both food and non-food sectors, and the experimental studies conducted on L. acidissima. This review will be useful in raising awareness of the less well-known details and the less well-documented research on L. acidissima. With this knowledge, new formulations may be created, or current ones could be improved to have more nutritional or therapeutic benefits.
This paper presents a comprehensive mathematical analysis of thrust augmentation in air breathing jet engines through the injection of ammonia into the compressor stage. The concept of employing ammonia injection to enhance compression efficiency and subsequently augment thrust in jet engines has gained significant attention due to its potential to improve performance metrics and reduce environmental impact. The study begins by elucidating the fundamental principles governing the behavior of gas turbine engines and the thermodynamic processes involved in the compression stage. Utilizing established mathematical models of compressor performance and gas dynamics, the impact of ammonia injection on compression ratio and overall engine efficiency is rigorously examined. Key parameters including compressor pressure ratio, temperature rise, and specific fuel consumption are analyzed to quantify the performance benefits achieved through ammonia injection. Furthermore, the paper investigates the optimal injection strategies and ammonia flow rates to maximize thrust augmentation while ensuring engine stability and operational safety. The mathematical formulations are validated through experimental data from relevant literature. The findings demonstrate the feasibility and effectiveness of utilizing ammonia injection as a viable method for thrust augmentation in air breathing jet engines, offering insights into potential advancements in engine design and operational strategies to meet the demands of future aerospace applications. ________________________________________________________________________________________________________
To begin, the article verifying of Capital Asset Pricing Model (CAPM) would be appropriate for capital asset valuation on the Greek capital market. We examined 32 companies listed on the Athens Stock Exchange (ASE) on a weekly basis for a period from June 2009 to December 2013 under this model. The CAPM model is tested by performing two-pass characteristic regression analyses. The first-pass characteristic line regression was used to estimate stocks of beta. Hence, the second-pass characteristic line regression was taken to analyze the intercept and the slope coefficients of stocks. The two characteristics of line regression verify the adequacy of the CAPM. According to our results, we came to a conclusion that there was a linear relationship between systematic risk and returns. The CAPM would be the verification of our major hypotheses from the time series tests. In order for this to be true, the intercept ought to be approximately equal to zero, supporting the theories for both individual assets and portfolios. However, the testing provides evidence against the CAPM, but do they do? It should be kept in mind that it does not necessarily represent evidence in favor of any alternative model. JEL Classification Code: G12, G11.
The Human Disease Prediction A machine learning system is based on predictive modeling and uses the symptoms the user enters into the system to predict the disease of the patient or user. The application has three login methods: user or patient login, doctor login, and administrator login. The tool evaluates the symptoms provided by the user or patient as input and provides the results of the disease as output based on predictive algorithms. A smart health assessment is done using a Naive Bayes classifier. The Naive Bayes classifier evaluates the probability of the disease, taking into account all subjects during the study period. Accurate interpretation of disease data facilitates patient/user disease prediction and provides users with a clear view of the disease. After the prediction, the user or patient can consult the specialist using the interactive window. It uses machine-learning algorithms and database management technology to extract new patterns from historical data. By using machine learning algorithms, prediction accuracy will be improved, and users or patients will have easy and convenient access to the application.
This research paper explored teacher effectiveness concerning the life satisfaction of teachers at the secondary level. The teacher effectiveness was measured by the scale developed by P. Kumar and D.N. Mutha. The Teacher Effectiveness Scale consists of 69 items divided into six dimensions-I. Academic, II. Professional, III. Social, IV. Emotional, V. Moral, VI. Personality. The Life Satisfaction of teachers was measured by the Life Satisfaction Scale (LSS) developed by Pramod Kumar and Jayshree Dhyani. This Scale consists of 54 items in five areas-I. Mental, II. Job, III. Social, IV. Marital, V. Family. The findings indicated that there exists a statistically significant relationship between teacher effectiveness and the life satisfaction of teachers at the secondary level.
The development of financial technology has given rise to a new class of asset known as cryptocurrency, which has presented a significant potential for study. Forecasting cryptocurrency prices is challenging because of their dynamic and volatile nature. There are hundreds of different cryptocurrencies in circulation today. With prospects in peer-to-peer payments, remittance, e-commerce and retail, and media & entertainment, the cryptocurrency business appears to have a bright future. From 2019 to2024, the worldwide cryptocurrency industry is anticipated to expand at a 32% CAGR. The distributed ledger technology's immutability and transparency, the rise in remittances from poor nations, shifting monetary laws, and a sharp rise in venture capital investments are the main factors propelling this market's growth. We created a short-term prediction (between five and thirty days) for the cryptocurrencies using the ARIMA model. When it came to predicting cryptocurrency time series, we discovered that the suggested method outperformed the ARIMA-ARFIMA models in both periods of gradual rising (falling) and transition dynamics (change of trend). Index Terms: digital currency,cryptocurrency, and ARIMA model.
With the explanatory variables of ROE, ROA, D/P ratio, P/E ratio, and BVPS, this study investigates the impact of financial performance on the stock price instability of microfinance companies listed on the Nepal Stock Exchange (NEPSE). The age and size of microfinance companies have been used as control variables. It has also observed the investor's behavior toward these variables. The study follows a quantitative approach with descriptive, causal-comparative, and survey research design. Multiple regression analysis is used to examine the causal relation between stock price volatility and the profitability of microfinance companies. This study has analyzed the annual report of 31 microfinance companies with 183 observations and 121 responses to a questionnaire received from the investors. According to this study, microfinance organizations' capacity to produce profits has a considerable impact on share price volatility. The survey result of the study reveals that the investors of microfinance companies are more sensible towards earning ability and past performance of the companies. The results of this investigation may be beneficial to the investors of microfinance companies to select the companies for investment. Acknowledging the limitation of data used in this study, further study can be conducted by taking other industries like banking, insurance, hotel, and manufacturing companies listed in the NEPSE. Besides this, a behavioral study about investors’ responses toward market factors can be conducted by taking a large sample of investors.
BIST XSPOR endeksi ve bileşenlerinde yatırımcı ilgisi, fiyat ve işlem hacmi arasındaki ilişki ve tutarlılığı zaman ve frekans boyutunda incelemeyi amaçlayarak hazırlanan bu çalışmada sürekli dalgacık analizi ile değişkenlerin yoğunluğu, çapraz dalgacık analizi ile değişkenler arasındaki ilişki ve dalgacık tutarlılığı analizi ile de değişkenler arasındaki tutarlılık test edilmiştir. Yatırımcı ilgisinin Google Arama Trendleri üzerinden dahil edildiği çalışmada XSPOR endeksi ve bileşenleri üzerinden gerçekleştirilen analizler sonucunda fiyat ile işlem hacmi, yatırımcı ilgisi ile hisse senedi fiyatı, yatırımcı ilgisi ve hisse senedi işlem hacmi arasında ilişki ve tutarlılık tespit edilmiştir. Bu ilişki, özellikle spor kulüplerinin başarı ve başarısızlık durumunda kısa orta ve uzun vadeli olarak gözlemlenmiştir. Çalışmaya esas zaman dilimi (2010-2023) içerisinde yer alan COVID 19 salgını tedbirlerinin de değişkenlere arasındaki ilişki ve tutarlılığa etkisinin olduğu ortaya konulmuştur. Sonuçlar bir başarı/başarısızlık anomalisini ortaya koymaktadır. Ayrıca sportif başarı ve başarısızlığın esas alınarak yatırım kararı verilmesi durumunda normalüstü getiri elde edilebiliyor olması da piyasanın etkin olmadığını işaret etmektedir.
This study aims to investigate the relationship and coherence between investor interest, price, and trading volume in the BIST XSPOR index and its constituents, both in terms of time and frequency dimensions. The density of variables is examined using continuous wavelet analysis, while the relationship between variables is explored through cross wavelet analysis, and the coherence between variables is assessed via wavelet coherence analysis. Incorporating investor interest through Google search trends, this study determines the association and coherence between price and trading volume, investor interest and stock price, as well as investor interest and stock trading volume, as revealed by analyses conducted on the XSPOR index and its constituents. This relationship is observed across short, medium, and long-term periods, particularly concerning the successes and failures of sports clubs. Within the scope of this study, the measures taken in response to the COVID-19 pandemic, which occurred during the study period (2010-2023), are shown to impact the relationship and coherence between the variables. The outcomes unveil a success/failure anomaly. Furthermore, the possibility of obtaining abnormal returns when making investment decisions based on sports-related successes and failures highlights the inefficiency of the market.
Building Information Modelling (BIM) has revolutionized the architecture, engineering, and construction industries in recent years, and its importance is likely to grow in 2023. The research paper includes an in-depth literature review based on BIM use in the CI, published during the last 15 years. This review scrutinized research papers of Indian origin, published during 2008-2023. Analysis reveals that 30%general review papers,40% semi reviewed,15% were research papers (but not review),9% were theses,3% were overviews,2% were critical and bibliometric reviews,1% surveyed/ report/ conference paper. The study includes relevant key terms along with some features like Adoption, Benefits, Barriers, Challenges, and Risk Management, and total review paper numbers are 18,14,11, 10, and 8 respectively. The rest of the articles are based on safety, practice, scope, framework, use and advantages, disadvantages, impact, and implementation of BIM in construction. Over the period an increase in trend and pattern was recorded year-wise and it reached to maximum post-pandemic Covid-19, not only in India but also worldwide, Indian review contribution is 35%, however, it is 65% over worldwide. This review paper aims to provide the availability of the Indian literature reviews on BIM use in the Indian building sector to house in one place. To boost relevant literature on BIM of international standards, the adoption of BIM by Indian CI should be enhanced. Therefore, it is advisable to incorporate BIM, and its integration with cutting-edge technologies in the syllabus of universities, and academic institutions to recognize the significance of it in AEC and assist to ensure it is popular and acceptable by and large.
This paper examines the role of supply chain common institutional investors (i.e., who own stocks of both upstream suppliers and their downstream customers in a supply chain) in the valuation of upstream supplier firms’ order backlog information. Based on the theory and evidence that backlog orders’ predictive power is diminished further in a supply chain due to the bullwhip effect, we hypothesize and find that the overpricing of order backlog is mainly driven by upstream rather than downstream firms. More importantly, we use both hedge portfolio methods and Fama-MacBeth regressions to show that common institutional investors in a supply chain can utilize their knowledge to better incorporate the bullwhip effect and mitigate the magnitude of order backlog mispricing. Further, we find that the overpricing of second-tier suppliers’ backlog orders and thus, the role of supply chain common institutional investors is more pronounced during expansion periods than during recession periods. Overall, we highlight the role of institutional supply chain knowledge in improving pricing efficiencies of complex supply chain dynamics.
Son yıllarda, finansal piyasalardaki yatırımcı davranışları ve kararları,
finansal araçların fiyatlarını ve işlem hacimlerini etkileyen önemli faktörlerden
biri haline gelmiştir. Bu nedenle, yatırımcıların ilgisi, finansal piyasaların
hareketlerini anlamak ve öngörmek için önemli bir değişkendir. Spor endeksi
ve bileşenlerinde yatırımcı ilgisi ve taraftar ruhu bir araya gelmektedir.
Doğrudan takımların taraftarı olmasalar da piyasa katılımcıları takımların
sportif başarılarından etkilenerek yatırım araçlarına ilgi göstermekte bu da
işlem hacmi ve fiyata etki etmektedir.
Çalışmada, Türkiye'de XSPOR endeksi ve bileşenlerindeki yatırımcı
ilgisi, fiyat ve işlem hacmi arasındaki ilişkinin zaman ve frekans boyutunda
incelenmesi amaçlanmaktadır. Sportif başarı ya da başarısızlığın dönemsel
etkilere yol açacağı ve bu etkinin piyasa hareketlerinde farklılıklar ortaya
çıkaracağı beklentisi çalışmanın motivasyon kaynağıdır. Bu amaçla, dalgacık
yöntemi kullanarak, XSPOR endeksi ve bileşenleri olan hisse senetlerinin
(BJKAS, FENER, GSRAY, TSPOR) fiyat ve işlem hacimleri ile yine bu
değişkenlere gösterilen yatırımcı ilgisinin, fiyat ve işlem hacmi ile arasındaki
ilişki analiz edilecektir. Yatırımcı ilgisi Google Arama Trendleri üzerinden
çalışmaya dahil edilmiştir.
Çalışmanın birinci bölümünde, finans teorileri, finansal piyasalardaki
yatırımcı davranışları ve kararları hakkında genel bir bakış sunulmaktadır.
İkinci bölümde ise, çalışmanın konusu ve kullanılan değişkenlere ilişkin detaylı
bir literatür taramasına yer verilmiştir. Üçüncü bölümde ise araştırma konusu
ve veri setine dair bilgiler yer alırken dalgacık analizine ilişkin teorik ve detaylı
bir açıklama da yapılmaktadır. Bu bölümde, dalgacık analizi yönteminin ne
olduğu, nasıl uygulandığı ve finansal piyasalardaki kullanımı gibi konular da
ele alınmaktadır. Analizin de gerçekleştirildiği ve ulaşılan bulguların da
sıralandığı bu bölümde sürekli dalgacık dönüşümü, çapraz dalgacık dönüşümü
ve dalgacık tutarlılığı analizleri uygulanmıştır. Bulgular öncelikle endeks ve
bileşenleri üzerinden sonrasında ise kendi içerisinde analizler üzerinden tasnif
edilmiştir bölümün sonunda ise tüm analizler özetlenmiştir. Son bölümde ise
bulgular doğrultusunda ulaşılan sonuçlara yer verilerek bazı önerilerde
bulunulmuştur.
This chapter discusses the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish. It presents alternative and more transparent proofs under these more general market conditions for Tobin's important separation theorem that “ … the proportionate composition of the non-cash assets is independent of their aggregate share of the investment balance … and for risk avertere in purely competitive markets when utility functions are quadratic or rates of return are multivariate normal. The chapter focuses on the set of risk assets held in risk averters' portfolios. It discusses various significant equilibrium properties within the risk asset portfolio. The chapter considers a few implications of the results for the normative aspects of the capital budgeting decisions of a company whose stock is traded in the market. It explores the complications introduced by institutional limits on amounts that either individuals or corporations may borrow at given rates, by rising costs of borrowed funds, and certain other real world complications.
A great many people provided comments on early versions of this paper which led to major improvements in the exposition. In addition to the referees, who were most helpful, the author wishes to express his appreciation to Dr. Harry Markowitz of the RAND Corporation, Professor Jack Hirshleifer of the University of California at Los Angeles, and to Professors Yoram Barzel, George Brabb, Bruce Johnson, Walter Oi and R. Haney Scott of the University of Washington.
This paper suggests that it is not possible to demonstrate, using the best available empirical methods, that the expected returns on high yield common stocks differ from the expected returns on low yield common stocks either before or after taxes. A taxable investor who concentrates his portfolio in low yield securities cannot tell from the data whether he is increasing or decreasing his expected after-tax return by so doing. A tax exempt investor who concentrates his portfolio in high yield securities cannot tell from the data whether he is increasing or decreasing his expected return. We argue that the best method for testing the effects of dividend policy on stock prices is to test the effects of dividend yield on stock returns. Thus the fact that we cannot tell, using the best available methods, what effects dividend yield has on stock returns implies that we cannot tell what effect, if any, a change in dividend policy will have on a corporation's stock price.
Research on this project was supported by a grant from the National Science Foundation. I am indebted to Arthur Laffer, Robert Aliber, Ray Ball, Michael Jensen, James Lorie, Merton Miller, Charles Nelson, Richard Roll, William Taylor, and Ross Watts for their helpful comments.
Supervised by Franco Modigliani. Massachusetts Institute of Technology, Alfred P. Sloan School of Management. Thesis. 1970. M.S. Vita. Bibliography: leaves 181-188.
“Price Performance Outlook for High & Low P/E Stocks”
- Paul F. Miller
- Ernest R. Widmann
Brennan Investor Taxes, Market Equilibrium and Corporate Finance Massachusetts Institute of Technology
- J Michael
Widmann Price Performance Outlook for High & Low P/E Stocks
- F Paul
- R Miller Ernest
Price Performance Outlook for High & Low P/E Stocks” 1966 Stock and Bond Issue Commercial & Financial Chronicle
- Paul F Millerandernest
- R Widmann