메뉴 건너뛰기




Volumn 10, Issue 2-3, 2005, Pages 133-170

Separating winners from losers among low book-to-market stocks using financial statement analysis

Author keywords

Book to market; Capital market; Financial statement analysis; Growth; Market efficiency; Mispricing; Risk; Value

Indexed keywords


EID: 22144438366     PISSN: 13806653     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11142-005-1526-4     Document Type: Conference Paper
Times cited : (217)

References (38)
  • 1
    • 0031285990 scopus 로고    scopus 로고
    • Financial statement analysis, future earnings and stock prices
    • Abarbanell, J. and B. Bushee. (1997). "Financial Statement Analysis, Future Earnings and Stock Prices." Journal of Accounting Research 35, 1-24.
    • (1997) Journal of Accounting Research , vol.35 , pp. 1-24
    • Abarbanell, J.1    Bushee, B.2
  • 3
    • 0033235090 scopus 로고    scopus 로고
    • Market rewards associated with patterns of increasing earnings
    • Barth, M., J. Elliott and M. Finn. (1999). "Market Rewards Associated with Patterns of Increasing Earnings." Journal of Accounting Research 37, 387-413.
    • (1999) Journal of Accounting Research , vol.37 , pp. 387-413
    • Barth, M.1    Elliott, J.2    Finn, M.3
  • 6
    • 0013352698 scopus 로고    scopus 로고
    • Contextual financial statement analysis through the prediction of extreme returns
    • Beneish, M.D., C.M. Lee and R.L. Tarpley. (2001). "Contextual Financial Statement Analysis through the Prediction of Extreme Returns." Review of Accounting Studies 6, 165-189.
    • (2001) Review of Accounting Studies , vol.6 , pp. 165-189
    • Beneish, M.D.1    Lee, C.M.2    Tarpley, R.L.3
  • 7
    • 84984174894 scopus 로고
    • The feltham-ohlson framework: Implications for empiricists
    • Bernard, V. (1995). "The Feltham-Ohlson Framework: Implications for Empiricists." Contemporary Accounting Research 11, 733-747.
    • (1995) Contemporary Accounting Research , vol.11 , pp. 733-747
    • Bernard, V.1
  • 8
    • 0001819765 scopus 로고
    • Post earnings announcement drift: Delayed price response or risk premium?
    • Bernard, V. and J. Thomas. (1989). "Post Earnings Announcement Drift: Delayed Price Response or Risk Premium?." Journal of Accounting Research 27, 1-36.
    • (1989) Journal of Accounting Research , vol.27 , pp. 1-36
    • Bernard, V.1    Thomas, J.2
  • 10
    • 0010019475 scopus 로고    scopus 로고
    • The stock market valuation of research and development expenditures
    • Chan, L., J. Lakonishok and T. Sougiannis. (2001). "The Stock Market Valuation of Research and Development Expenditures." Journal of Finance 56, 2431-2456.
    • (2001) Journal of Finance , vol.56 , pp. 2431-2456
    • Chan, L.1    Lakonishok, J.2    Sougiannis, T.3
  • 12
    • 0030637317 scopus 로고    scopus 로고
    • Returns to contrarian investment strategies: Tests of naive expectations hypotheses
    • Dechow, P. and R. Sloan. (1997). "Returns to Contrarian Investment Strategies: Tests of Naive Expectations Hypotheses." Journal of Financial Economics 43, 3-27.
    • (1997) Journal of Financial Economics , vol.43 , pp. 3-27
    • Dechow, P.1    Sloan, R.2
  • 13
    • 2442657701 scopus 로고    scopus 로고
    • Value-glamour and accruals mispricing: One anomaly or two?
    • Desai, H., S. Rajgopal and M. Venkatachalam. (2004). "Value-Glamour and Accruals Mispricing: One Anomaly or Two?." The Accounting Review 79, 355-385.
    • (2004) The Accounting Review , vol.79 , pp. 355-385
    • Desai, H.1    Rajgopal, S.2    Venkatachalam, M.3
  • 14
    • 0043172432 scopus 로고    scopus 로고
    • A test of the error-expectations explanation of the value/glamour stock returns performance: Evidence from analysts' forecasts
    • Doukas, J.A., C.F. Kim and C. Pantzalis. (2002). "A Test of the Error-Expectations Explanation of the Value/Glamour Stock Returns Performance: Evidence from Analysts' Forecasts." Journal of Finance 57, 2143-2166.
    • (2002) Journal of Finance , vol.57 , pp. 2143-2166
    • Doukas, J.A.1    Kim, C.F.2    Pantzalis, C.3
  • 15
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. and K. French. (1992). "The Cross-Section of Expected Stock Returns." Journal of Finance 47, 427-465.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.1    French, K.2
  • 16
    • 0012073772 scopus 로고    scopus 로고
    • The expiration of IPO share lockups
    • Field, L. and G. Hanka. (2001). "The Expiration of IPO Share Lockups." Journal of Finance 56, 471-500.
    • (2001) Journal of Finance , vol.56 , pp. 471-500
    • Field, L.1    Hanka, G.2
  • 17
    • 0000774157 scopus 로고    scopus 로고
    • Stocks are special too: An analysis of the equity lending market
    • Geczy, C., D. Musto and A. Reed. (2002). "Stocks Are Special Too: An Analysis of the Equity Lending Market." Journal of Financial Economics 66, 241-269.
    • (2002) Journal of Financial Economics , vol.66 , pp. 241-269
    • Geczy, C.1    Musto, D.2    Reed, A.3
  • 18
    • 1342303879 scopus 로고    scopus 로고
    • Inferring the cost of capital using the ohlson-juettner model
    • Gode, D. and P. Mohanram. (2003). "Inferring the Cost of Capital Using the Ohlson-Juettner Model." Review of Accounting Studies 8, 399-431.
    • (2003) Review of Accounting Studies , vol.8 , pp. 399-431
    • Gode, D.1    Mohanram, P.2
  • 19
    • 0043172419 scopus 로고    scopus 로고
    • Book-to-market equity, distress risk, and stock returns
    • Griffin, J. and M. Lemmon. (2002). "Book-to-Market Equity, Distress Risk, and Stock Returns." Journal of Finance 57, 2317-2336.
    • (2002) Journal of Finance , vol.57 , pp. 2317-2336
    • Griffin, J.1    Lemmon, M.2
  • 20
    • 0002445438 scopus 로고
    • Predictability bias in the U.S. equity market
    • March-April
    • Huberts, L. and R. Fuller. (1995). "Predictability Bias in the U.S. Equity Market." Financial Analysts Journal March-April, 12-28.
    • (1995) Financial Analysts Journal , pp. 12-28
    • Huberts, L.1    Fuller, R.2
  • 21
    • 84993869066 scopus 로고
    • Contrarian investment, extrapolation and risk
    • Lakonishok, J., A. Shleifer and R. Vishny. (1994). "Contrarian Investment, Extrapolation and Risk." Journal of Finance 44, 1541-1578.
    • (1994) Journal of Finance , vol.44 , pp. 1541-1578
    • Lakonishok, J.1    Shleifer, A.2    Vishny, R.3
  • 22
    • 0039470462 scopus 로고    scopus 로고
    • Expectations and the cross section of stock returns
    • La Porta, R. (1996). "Expectations and the Cross Section of Stock Returns." Journal of Finance 51, 1715-1742.
    • (1996) Journal of Finance , vol.51 , pp. 1715-1742
    • La Porta, R.1
  • 23
    • 0039647007 scopus 로고    scopus 로고
    • Good news for value stocks: Further evidence on market efficiency
    • La Porta, R., J. Lakonishok, A. Shleifer and R. Vishny. (1997). "Good News for Value Stocks: Further Evidence on Market Efficiency." Journal of Finance 52, 859-874.
    • (1997) Journal of Finance , vol.52 , pp. 859-874
    • La Porta, R.1    Lakonishok, J.2    Shleifer, A.3    Vishny, R.4
  • 25
    • 0030079993 scopus 로고    scopus 로고
    • Capitalization, amortization and value-relevance of R&D
    • Lev, B. and T. Sougiannis. (1996). "Capitalization, Amortization and Value-Relevance of R&D." Journal of Accounting and Economics 21, 107-139.
    • (1996) Journal of Accounting and Economics , vol.21 , pp. 107-139
    • Lev, B.1    Sougiannis, T.2
  • 26
    • 1642364522 scopus 로고    scopus 로고
    • How do exchanges select stocks for option listing?
    • Mayhew, S. and V. Mihov. (2004). "How Do Exchanges Select Stocks for Option Listing?." Journal of Finance 59, 447-471.
    • (2004) Journal of Finance , vol.59 , pp. 447-471
    • Mayhew, S.1    Mihov, V.2
  • 27
    • 22144464511 scopus 로고    scopus 로고
    • Expected EPS and EPS growth as determinants of value
    • This Issue
    • Ohlson, J. and B. Juettner-Nauroth B. (2005). "Expected EPS and EPS Growth as Determinants of Value." Review of Accounting Studies 10, This Issue.
    • (2005) Review of Accounting Studies , vol.10
    • Ohlson, J.1    Juettner-Nauroth, B.2
  • 28
    • 0000255658 scopus 로고
    • Accounting measures, price-earnings ratio and the information content of security prices
    • Ou, J. and S. Penman. (1989). "Accounting Measures, Price-Earnings Ratio and the Information Content of Security Prices." Journal of Accounting Research 27, 111-143.
    • (1989) Journal of Accounting Research , vol.27 , pp. 111-143
    • Ou, J.1    Penman, S.2
  • 29
    • 0036013270 scopus 로고    scopus 로고
    • Accounting conservatism, the quality of earnings, and stock returns
    • Penman, S. and X. Zhang. (2002). "Accounting Conservatism, the Quality of Earnings, and Stock Returns." The Accounting Review 11, 237-264.
    • (2002) The Accounting Review , vol.11 , pp. 237-264
    • Penman, S.1    Zhang, X.2
  • 30
    • 20144374716 scopus 로고    scopus 로고
    • Value investing: The use of historical financial statement information to separate winners from losers
    • Piotroski, J. (2000). "Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers." Journal of Accounting Research 38, 1-41.
    • (2000) Journal of Accounting Research , vol.38 , pp. 1-41
    • Piotroski, J.1
  • 31
    • 3843103628 scopus 로고    scopus 로고
    • Does the stock market fully appreciate the implications of leading indicators for future earnings? Evidence from order backlog
    • Rajgopal, S., T. Shevlin and M. Venkatachalam. (2003). "Does the Stock Market Fully Appreciate the Implications of Leading Indicators for Future Earnings? Evidence from Order Backlog." Review of Accounting Studies 8, 461-492.
    • (2003) Review of Accounting Studies , vol.8 , pp. 461-492
    • Rajgopal, S.1    Shevlin, T.2    Venkatachalam, M.3
  • 32
    • 20444486945 scopus 로고    scopus 로고
    • Accrual reliability, earnings persistence and stock prices
    • University of Pennsylvania/ University of Michigan
    • Richardson, J., R. Sloan, M. Soliman and I. Tuna (2004). "Accrual Reliability, Earnings Persistence and Stock Prices." Working paper, University of Pennsylvania/ University of Michigan.
    • (2004) Working Paper
    • Richardson, J.1    Sloan, R.2    Soliman, M.3    Tuna, I.4
  • 33
    • 0010960285 scopus 로고    scopus 로고
    • The delisting return bias in CRSP data
    • Shumway, T. (1997). "The Delisting Return Bias in CRSP Data." Journal of Finance 52, 327-340.
    • (1997) Journal of Finance , vol.52 , pp. 327-340
    • Shumway, T.1
  • 34
    • 52649103582 scopus 로고    scopus 로고
    • Earnings surprises, growth expectations, and stock returns or don't let an earnings torpedo sink your portfolio
    • Skinner, D. and R. Sloan. (2002). "Earnings Surprises, Growth Expectations, and Stock Returns or Don't Let an Earnings Torpedo Sink Your Portfolio." Review of Accounting Studies 7, 289-312.
    • (2002) Review of Accounting Studies , vol.7 , pp. 289-312
    • Skinner, D.1    Sloan, R.2
  • 35
    • 0030305172 scopus 로고    scopus 로고
    • Do stock prices fully reflect information in accruals and cash flows about future earnings?
    • Sloan, R., (1996). "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?." The Accounting Review 71, 289-316.
    • (1996) The Accounting Review , vol.71 , pp. 289-316
    • Sloan, R.1
  • 36
    • 22144440770 scopus 로고    scopus 로고
    • Using industry-adjusted dupont analysis to predict future profitability
    • Stanford University
    • Soliman, M. (2004). "Using Industry-Adjusted Dupont Analysis to Predict Future Profitability." Working paper, Stanford University.
    • (2004) Working Paper
    • Soliman, M.1
  • 37
    • 20144374460 scopus 로고    scopus 로고
    • The eyeballs have it: Searching for the value in Internet stocks
    • Trueman, B., F. Wong and X. Zhang. (2000). "The Eyeballs Have It: Searching for the Value in Internet Stocks." Journal of Accounting Research 38, 137-162.
    • (2000) Journal of Accounting Research , vol.38 , pp. 137-162
    • Trueman, B.1    Wong, F.2    Zhang, X.3
  • 38
    • 1842663087 scopus 로고    scopus 로고
    • Default risk in equity returns
    • Vassalou, M. and Y. Xing. (2004). "Default Risk in Equity Returns." Journal of Finance 59, 831-868.
    • (2004) Journal of Finance , vol.59 , pp. 831-868
    • Vassalou, M.1    Xing, Y.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.