Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values

Keywords

Capital asset pricing model, Economics, Inefficiency, Econometrics, Earnings

References

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Cited by

• VALUE INVESTING: EVIDENCE FROM THE DUTCH STOCK MARKETF.E.J. Knopers — 2014
• Nonlinearity and market efficiency in GCC stock marketsAbdullah M. H. Alharbi — 2009
• Earnings Releases, Anomalies, and the Behavior of Security Returns.George Foster, Chris Olsen, Terry Shevlin — 1984
• INSIDER TRADING IN THE SPANISH STOCK MARKETAnalisis Economico, Y Contabilidad, Miguel de Unamuno — 2001
• Corporate Bond Rating Changes, Cross-Market Information Transfer and the Spillover Effect in the United KingdomHasniza Mohd Taib — 2010
• The sensitivity of Fama-French factors to economic uncertaintyAmélie Charles, Olivier Darné, Zakaria Moussa — 2014
• Size, value, and momentum in Polish equity returns: Local or international factors?Adam Zaremba — 2017
• Security Returns Around Earnings Announcements.Ray Ball, S.P. Kothari — 1991
• Essays on short selling and margin trading in China : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Palmerston North, New ZealandS. Sharif — 2013
• Motivating, constructing and testing the Fama-French three factor model on the Johannesburg Stock ExchangePatryk Basiewicz — 2011
• On building predictive models with company annual reportsXin Qiu — 2007
• Decision-Usefulness of Accounting Information to Equity Investors of Firms Listed on the Amman Stock Exchange:an Empirical InvestigationBeatriz Elena Africano — 2013
• Free Cash Flow and Long-Run Firm Value: Evidence from the Value Line Investment Survey [*]Stephen C. Vogt, Joseph Vu — 2000
• The effect of full takeovers on corporate performance : Australian evidence over the last two decadesLydia Segara — 2006
• The effect of liquidity on stock returns on the JSEAstrid Kim Reisinger — 2012
• SIZE EFFECT AND STOCK BEHAVIOR DURING THE EXPANSION AND CONTRACTION PHASESOF ECONOMIC CYCLE An Empirical Evidence from Indonesian Stock MarketMama Asri Sw — 2002
• Empirical research on the efficient stock markets hypothesis: the state of affairsSteve Van Uytbergen — 2002
• Board of Directors Monitoring of CEO Insider Trading: Before and After the Sarbanes-Oxley ActAlireza Ebrahim — 2012
• Optimal Portfolio Rules and Maximum Gains from Economic EventsBob Korkie, Barry Laiss — 1990
• Wycena papierów wartościowych na rynku kapitałowym w świetle finansów behawioralnychAdam Szyszka — 2007

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