SIZE AND BOOK-TO-MARKET FACTORS IN EARNINGS AND RETURNS

被引：1235

作者：

FAMA, EF ^{[1
]}

FRENCH, KR ^{[1
]}

机构：

[1] YALE UNIV,SCH MANAGEMENT,NEW HAVEN,CT 06520

来源：

JOURNAL OF FINANCE | 1995年 / 50卷 / 01期

关键词：

D O I：

10.2307/2329241

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study whether the behavior of stock prices, in relation to size and book-to-market-equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals persistent poor earnings and low BE/ME signals strong earnings. Moreover, stock prices forecast the reversion of earnings growth observed after firms are ranked on size and BE/ME. Finally, there are market, size, and BE/ME factors in earnings like those in returns. The market and size factors in earnings help explain those in returns, but we find no link between BE/ME factors in earnings and returns.

引用

页码：131 / 155

页数：25

共 10 条

[1]

BANZ RW, 1986, J FINANC, V41, P779

[2] COMMON RISK-FACTORS IN THE RETURNS ON STOCKS AND BONDS [J].