Value versus Glamour

Journal of Finance

Volumn 58, Issue 5, 2003, Pages 1969-1996

  Conrad, Jennifer ^a   Cooper, Michael ^b   Kaul, Gautam ^c  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b PURDUE UNIVERSITY   (United States)

^c UNIVERSITY OF MICHIGAN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0142219306     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6261.00594     Document Type: Review

References (55)

1. Ball, Ray, 1978, Anomalies in relationships between securities' yields and yield-surrogates, Journal of Financial Economics 6, 103-126.
2. Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
3. Basu, Sanjoy, 1983, The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence, Journal of Financial Economics 12, 129-156.
4. Berk, Jonathan B., 1995, A critique of size related anomalies, Review of Financial Studies 8, 275-286.
5. Berk, Jonathan B., 1998, Sorting out sorts, Journal of Finance 55, 407-427.
6. Berk, Jonathan B., Richard C. Green, and Vasant Naik, 1999, Optimal investment, growth options, and security returns, Journal of Finance 54, 1553-1607.
7. Bhandari, Laxmi Chand, 1988, Debt/equity ratio and expected common stock returns: Empirical evidence, Journal of Finance 43, 507-528.
8. Black, Fischer, 1993a, Beta and return, Journal of Portfolio Management 20, 8-18.
9. Black, Fischer, 1993b, Estimating expected return, Financial Analyst Journal 49, 36-38.
10. Black, Fischer, Michael C. Jensen, and Myron Scholes, 1972, The capital asset pricing model: Some empirical tests, in M. Jensen, ed.: Studies in the Theory of Capital Markets (Praeger, New York).
11. Breen, William J., and Robert Korajczyk, 1995, On selection biases in book-to-market tests of asset pricing models, Working paper, Kellogg Graduate School of Management.
12. Brennan, Michael J., Narasimhan Jegadeesh, and Bhaskaran Swaminathan, 1993, Investment analysis and the adjustment of stock prices to common information, Review of Financial Studies 6, 799-824.
13. Capaul, Carlo, Ian Rowley, and William F. Sharpe, 1993, International value and growth stock returns, Financial Analyst Journal, January/February, 27-36.
14. Chan, Louis K. C., Yasushi Hamao, and Josef Lakonishok, 1991, Fundamentals and stock returns in Japan, Journal of Finance 46, 1739-1789.
15. Chan, Louis K. C., Narasimhan Jegadeesh, and Josef Lakonishok, 1995, Evaluating the performance of value versus glamour stocks: The impact of selection bias, Journal of Financial Economics 38, 269-296.
16. Chan, Louis K. C., Jason Karceski, and Josef Lakonishok, 1998, The risk and return from factors, Journal of Financial and Quantitative Analysis 33, 159-188.
17. Chen, Nai-Fu, Richard Roll, and Stephen A. Ross, 1983, Economic forces and the stock market, Journal of Business 59, 383-403.
18. Claessens, Stijn, Susmita Dasgupta, and Jack Glen, 1996, The cross-section of expected returns: Evidence from the emerging markets, Working paper, International Finance Corporation.
19. Connor, Gregory, 1984, A unified beta pricing theory, Journal of Economic Theory 34, 13-31.
20. Connor, Gregory, and Robert A. Korajczyk, 1986, Risk and return in an equilibrium APT: Application of a new test methodology, Journal of Financial Economics 21, 255-289.
21. Cooper, Michael, Roberto Gutierrez, and William Marcum, 2001, On the predictability of stock returns in real time, The Journal of Business, forthcoming.
22. Daniel, Kent, and Sheridan Titman, 1997, Evidence on the characteristics of cross-sectional variation in stock returns, Journal of Finance 53, 1-33.
23. Davis, James, 1994, The cross section of realized stock returns: the pre-COMPUSTAT evidence, Journal of Finance 49, 1579-1593.
24. Davis, J., Eugene F. Fama, and Kenneth R. French, 2000, Characteristics, covariances, and average returns: 1929-1997, Journal of Finance 55, 389-406.
25. Denton, F., 1985, Data mining as an industry, Review of Economics and Statistics 67, 124-127.
26. Fama, Eugene F., and Kenneth R. French, 1992, The cross section of expected stock returns, Journal of Finance 47, 427-465.
27. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns of stocks and bonds, Journal of Financial Economics 33, 3-56.
28. Fama, Eugene F., and Kenneth R. French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-155.
29. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
30. Fama, Eugene F., and Kenneth R. French, 1998, Value versus growth: The international evidence, Journal of Finance 53, 1975-1999.
31. Fama, Eugene F., and James Macbeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
32. Ferson, Wayne E., Sergei Sarkissian, and Timothy Simin, 1999, The alpha factor asset pricing model: A parable, Journal of Financial Markets 2, 49-68.
33. Fohlin, Caroline, and Peter Bossaerts, 2001, Has the cross-section of average returns always been the same? Evidence from Germany, 1881-1913, Caltech Social Sciences Working Paper No. 1084, California Institute of Technology, Pasadena, CA.
34. 2, Journal of Finance 52, 591-607.
35. Gibbons, Michael, 1982, Multivariate tests of financial models: A new approach, Journal of Financial Economics 10, 3-27.
36. Jaffee, Jeffrey, Donald B. Keim, and Randolph Westerfield, 1989, Earnings yield, market values, and stock returns, Journal of Finance 44, 135-148.
37. Keim, Donald B., 1983, Size-related anomalies and stock return seasonalities: Further empirical evidence, Journal of Financial Economics 12, 13-32.
38. Kothari, S. P., and Jay Shanken, 1997, Book-to-market, dividend yield, and expected market returns: A time-series analysis, Journal of Financial Economics 44, 169-203.
39. Kothari, S. P., Jay Shanken, and Richard G. Sloan, 1995, Another look at the cross-section of expected stock returns, Journal of Finance 50, 185-224.
40. Lakonishok, Josef, Andrei Shleifer, and Robert W.Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.
41. La Porta, Rafael, 1993, Survivorship bias and the predictability of stock returns in the compustat sample, Working paper, Harvard University.
42. Leamer, Edward E., 1978, Specification Searches (Wiley, New York).
43. Lintner, John, 1965, The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
44. Lo Andrew, W., and Craig A. Mackinlay, 1990, Data-snooping biases in tests of financial asset pricing models, Review of Financial Studies 3, 431-467.
45. Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
46. Reinganum, Marc R., 1981, A new empirical perspective on the CAPM, Journal of Financial and Quantitative Analysis 16, 439-462.
47. Roll, Richard, and Stephen A. Ross, 1980, An empirical investigation of the arbitrage pricing theory, Journal of Finance 35, 1073-1103.
48. Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, Persuasive evidence of market inefficiency, Journal of Portfolio Management 11, 9-17.
49. Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
50. Ross, Stephen A., 1987, Regression to the max, Working paper, Yale School of Organization and Management.
51. Sharpe, William F., 1982, Factors in NYSE security returns, 1931-1979, Journal Of Portfolio Management 8, 5-19.
52. Stambaugh, Robert F., 1982, On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis, Journal of Financial Economics 10, 237-268.
53. Sullivan, Ryan, Allan Timmermann, and Halbert White, 1999, Data-snooping, technical trading rule performance, and the bootstrap, Journal of Finance 54, 1647-1691.
54. Sullivan, Ryan, Allan Timmermann, and Halbert White, 2001, Dangers of data-driven inferences: The case of calendar effects, Journal of Econometrics 105, 249-286.
55. Tinic, Seha, M., and Richard R. West, 1986, Risk return and equilibrium: A revisit, Journal of Political Economy 94, 126-147.