메뉴 건너뛰기




Volumn 9, Issue 2, 2000, Pages 225-243

Size and book-to-market factors in the relationship between average stock returns and average book returns: some evidence from an emerging market

Author keywords

[No Author keywords available]

Indexed keywords


EID: 27844530529     PISSN: 09638180     EISSN: 14684497     Source Type: Journal    
DOI: 10.1080/09638180050129882     Document Type: Article
Times cited : (7)

References (40)
  • 1
    • 0000501656 scopus 로고    scopus 로고
    • Information theory and the extension of the maximum likelihood principle
    • Petrov B.N., Csaki F., (eds), Budapest: Akedemiai Kiado,. Edited by
    • Akaike, H., Information theory and the extension of the maximum likelihood principle. Proceedings of the Second International Symposium on Information Theory. Edited by: Petrov, B. N., and Csaki, F., pp. 267–281. Budapest: Akedemiai Kiado.
    • Proceedings of the Second International Symposium on Information Theory , pp. 267-281
    • Akaike, H.1
  • 2
    • 0002742759 scopus 로고
    • An empirical evaluation of accounting income numbers
    • Autumn, and
    • Ball, R., and Brown, P., 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research, Autumn: 159–178.
    • (1968) Journal of Accounting Research , pp. 159-178
    • Ball, R.1    Brown, P.2
  • 4
    • 85045005169 scopus 로고    scopus 로고
    • Valuation implications of the components of earnings: cross-sectional evidence for Greece
    • June24–27, Thessaloniki, Greece
    • Ballas, A. A., Valuation implications of the components of earnings: cross-sectional evidence for Greece. presented at the 4th Annual Conference of the Multinational Finance Society. June24–27. Thessaloniki, Greece
    • presented at the 4th Annual Conference of the Multinational Finance Society
    • Ballas, A.A.1
  • 5
    • 0002072633 scopus 로고
    • The information content of annual earnings announcements
    • Supplement
    • Beaver, W. H., 1968. The information content of annual earnings announcements. Journal of Accounting Research,: 67–92. Supplement:
    • (1968) Journal of Accounting Research , pp. 67-92
    • Beaver, W.H.1
  • 6
    • 0002498564 scopus 로고    scopus 로고
    • Directions in accounting research: NEAR and FAR
    • Beaver, W. H., 1996. Directions in accounting research: NEAR and FAR. Accounting Horizons, 10: 113–124.
    • (1996) Accounting Horizons , vol.10 , pp. 113-124
    • Beaver, W.H.1
  • 7
    • 0042181567 scopus 로고
    • Intertemporal and cross-sectional variation in the association between unexpected rates of return and abnormal returns
    • Board, J. L. G., and Walker, M., 1990. Intertemporal and cross-sectional variation in the association between unexpected rates of return and abnormal returns. Journal of Accounting Research, 28: 182–192.
    • (1990) Journal of Accounting Research , vol.28 , pp. 182-192
    • Board, J.L.G.1    Walker, M.2
  • 9
    • 0000534448 scopus 로고
    • The role of the accounting rate of return in financial statement analysis
    • Brief, R. P., and Lawson, R. A., 1992. The role of the accounting rate of return in financial statement analysis. Accounting Review, 67: 411–426.
    • (1992) Accounting Review , vol.67 , pp. 411-426
    • Brief, R.P.1    Lawson, R.A.2
  • 11
    • 84977703403 scopus 로고
    • Fundamentals and stock returns in Japan
    • Chan, L. K. C., Hamao, Y., and Lakonishok, J., 1991. Fundamentals and stock returns in Japan. Journal of Finance, 46: 1739–1764.
    • (1991) Journal of Finance , vol.46 , pp. 1739-1764
    • Chan, L.K.C.1    Hamao, Y.2    Lakonishok, J.3
  • 12
    • 0010690266 scopus 로고
    • An analysis of intertemporal and cross-sectional determinants of earnings response coefficients
    • Collins, D. W., and Kothari, S. P., 1989. An analysis of intertemporal and cross-sectional determinants of earnings response coefficients. Journal of Accounting and Economics, 13: 143–182.
    • (1989) Journal of Accounting and Economics , vol.13 , pp. 143-182
    • Collins, D.W.1    Kothari, S.P.2
  • 13
    • 0012235835 scopus 로고    scopus 로고
    • Regression analysis in accounting disclosure studies
    • Cooke, T. E., 1998. Regression analysis in accounting disclosure studies. Accounting and Business Research, 28: 209–224.
    • (1998) Accounting and Business Research , vol.28 , pp. 209-224
    • Cooke, T.E.1
  • 14
    • 0002778354 scopus 로고
    • Earnings as an explanatory variable for returns
    • Easton, P. D., and Harris, T. S., 1991. Earnings as an explanatory variable for returns. Journal of Accounting Research, 29: 19–36.
    • (1991) Journal of Accounting Research , vol.29 , pp. 19-36
    • Easton, P.D.1    Harris, T.S.2
  • 15
    • 0002261146 scopus 로고
    • P/E, P/B and the present value of future dividends
    • Fairfield, P. M., 1994. P/E, P/B and the present value of future dividends. Financial Analysts Journal, 50: 23–31.
    • (1994) Financial Analysts Journal , vol.50 , pp. 23-31
    • Fairfield, P.M.1
  • 16
    • 0000029776 scopus 로고
    • Efficient capital markets: II
    • Fama, E. F., 1991. Efficient capital markets: II. Journal of Finance, 46: 1575–1617.
    • (1991) Journal of Finance , vol.46 , pp. 1575-1617
    • Fama, E.F.1
  • 18
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. F., and French, K. R., 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.F.1    French, K.R.2
  • 19
    • 38549147867 scopus 로고
    • Common risk factors in the returns of stocks and bonds
    • Fama, E. F., and French, K. R., 1993. Common risk factors in the returns of stocks and bonds. Journal of Financial Economics, 33: 3–56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 20
    • 84993845943 scopus 로고
    • Size and book-to-market factors in earnings and returns
    • Fama, E. F., and French, K. R., 1995. Size and book-to-market factors in earnings and returns. Journal of Finance, 50: 131–155.
    • (1995) Journal of Finance , vol.50 , pp. 131-155
    • Fama, E.F.1    French, K.R.2
  • 21
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor explanations of asset pricinganomalies
    • Fama, E. F., and French, K. R., 1996a. Multifactor explanations of asset pricinganomalies. Journal of Finance, 51: 55–84.
    • (1996) Journal of Finance , vol.51 , pp. 55-84
    • Fama, E.F.1    French, K.R.2
  • 22
    • 0012932442 scopus 로고    scopus 로고
    • The CAMP is wanted, dead or alive
    • Fama, E. F., and French, K. R., 1996b. The CAMP is wanted, dead or alive. Journal of Finance, 51: 1947–1958.
    • (1996) Journal of Finance , vol.51 , pp. 1947-1958
    • Fama, E.F.1    French, K.R.2
  • 23
    • 79960238700 scopus 로고
    • The information content of accounting earnings in Greece: an empirical investigation
    • Kayha, E., Maggina, A., and Theodossiou, P., 1993. The information content of accounting earnings in Greece: an empirical investigation. Journal of Multinational Financial Management, 3/4: 143–157.
    • (1993) Journal of Multinational Financial Management , vol.3-4 , pp. 143-157
    • Kayha, E.1    Maggina, A.2    Theodossiou, P.3
  • 24
    • 84993888629 scopus 로고
    • Another look at the cross-section of expected stock returns
    • Kothari, S. P., Shanken, J., and Sloan, R. G., 1995. Another look at the cross-section of expected stock returns. Journal of Finance, 50: 185–224.
    • (1995) Journal of Finance , vol.50 , pp. 185-224
    • Kothari, S.P.1    Shanken, J.2    Sloan, R.G.3
  • 25
    • 84993869066 scopus 로고
    • Contrarian investment, extrapolation and risk
    • Lakonishok, J., Shleifer, A., and Vishny, R. W., 1994. Contrarian investment, extrapolation and risk. Journal of Finance, 49: 1541–1578.
    • (1994) Journal of Finance , vol.49 , pp. 1541-1578
    • Lakonishok, J.1    Shleifer, A.2    Vishny, R.W.3
  • 26
    • 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
  • 27
    • 0000023612 scopus 로고
    • On the usefulness of earnings and earnings research: lessons and directions from two decades of empirical research
    • Supplement
    • Lev, B., 1989. On the usefulness of earnings and earnings research: lessons and directions from two decades of empirical research. Journal of Accounting Research,: 153–192. Supplement:
    • (1989) Journal of Accounting Research , pp. 153-192
    • Lev, B.1
  • 28
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K., and West, K. D., 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55: 703–708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 29
    • 85045000543 scopus 로고
    • H Elliniki hrimatistiriaki agora: trehouses exelixeis kai prooptikes
    • Provopoulos G., (ed), Athens: IOBE, In, Edited by
    • Niarchos, N. A., 1995. “ H Elliniki hrimatistiriaki agora: trehouses exelixeis kai prooptikes ”. In To Elliniko hrimatopistotifco systima: taseis kai prooptikes, Edited by: Provopoulos, G., 191–214. Athens: IOBE.
    • (1995) To Elliniko hrimatopistotifco systima: taseis kai prooptikes , pp. 191-214
    • Niarchos, N.A.1
  • 30
    • 84945774216 scopus 로고
    • Diagnostic tests as residual analysis
    • Pagan, A. R., and Hall, A. D., 1983. Diagnostic tests as residual analysis. Econometric Review, 2: 159–218.
    • (1983) Econometric Review , vol.2 , pp. 159-218
    • Pagan, A.R.1    Hall, A.D.2
  • 31
    • 85045000539 scopus 로고
    • Eisagoges etairion sto Hrimatistirio Axion Athinon: theoritiki kai empeiriki analysi
    • Provopoulos G., (ed), Athens: IOBE, and, In, Edited by
    • Papaioannou, G. I., and Travlos, N. G., 1995. “ Eisagoges etairion sto Hrimatistirio Axion Athinon: theoritiki kai empeiriki analysi ”. In To Elliniko hrimatopistotiko systima: taseis kai prooptikes, Edited by: Provopoulos, G., 215–278. Athens: IOBE.
    • (1995) To Elliniko hrimatopistotiko systima: taseis kai prooptikes , pp. 215-278
    • Papaioannou, G.I.1    Travlos, N.G.2
  • 33
    • 0030241930 scopus 로고    scopus 로고
    • The articulation of price-earnings ratios and market-to-book ratios and the evaluation of growth
    • Penman, S. H., 1996. The articulation of price-earnings ratios and market-to-book ratios and the evaluation of growth. Journal of Accounting Research, 34: 235–259.
    • (1996) Journal of Accounting Research , vol.34 , pp. 235-259
    • Penman, S.H.1
  • 35
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • Schwarz, G., 1978. Estimating the dimension of a model. Annals of Statistics, 6: 461–464.
    • (1978) Annals of Statistics , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 36
    • 84984200127 scopus 로고
    • Determinants of the returns-earnings correlation
    • Shroff, P. K., 1995. Determinants of the returns-earnings correlation. Contemporary Accounting Research, 12: 41–55.
    • (1995) Contemporary Accounting Research , vol.12 , pp. 41-55
    • Shroff, P.K.1
  • 37
    • 21144476315 scopus 로고
    • The explanatory power of earnings for stock returns
    • Strong, N., and Walker, M., 1993. The explanatory power of earnings for stock returns. Accounting Review, 68: 385–399.
    • (1993) Accounting Review , vol.68 , pp. 385-399
    • Strong, N.1    Walker, M.2
  • 38
    • 85044990554 scopus 로고    scopus 로고
    • Analysi tis symperiforas kai ton haraktiristikon tou Hrimatistiriou Axion Athinon
    • June
    • Syriopoulos, C., 1996. Analysi tis symperiforas kai ton haraktiristikon tou Hrimatistiriou Axion Athinon. Deltion Enosis Ellinikon Trapezon, June: 72–76.
    • (1996) Deltion Enosis Ellinikon Trapezon , pp. 72-76
    • Syriopoulos, C.1
  • 39
    • 85045015545 scopus 로고
    • Pleonektimata kai meionektimata eisagogis etairion sto hrimatistirio
    • Provopoulos G., (ed), Athens: IOBE, In, Edited by
    • Travlos, N., 1995. “ Pleonektimata kai meionektimata eisagogis etairion sto hrimatistirio ”. In To Elliniko hrimatopistotiko systima: taseis kai prooptikes, Edited by: Provopoulos, G., 279–292. Athens: IOBE.
    • (1995) To Elliniko hrimatopistotiko systima: taseis kai prooptikes , pp. 279-292
    • Travlos, N.1
  • 40
    • 8744241807 scopus 로고    scopus 로고
    • The usefulness of earnings in explaining stock returns in an emerging market: the case of Cyprus
    • Vafeas, N., Trigeorgis, L., and Georgiou, X., 1998. The usefulness of earnings in explaining stock returns in an emerging market: the case of Cyprus. European Accounting Review, 7: 105–124.
    • (1998) European Accounting Review , vol.7 , pp. 105-124
    • Vafeas, N.1    Trigeorgis, L.2    Georgiou, X.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.