Information Content of PE Ratio, Price-to-book Ratio and Firm Size in Predicting Equity Returns

Author(s)
Sun, Lan
Publication Date
2012
Abstract
The concept of market efficiency is central to finance. Various anomalies have been documented in the last two decades that contradicts to the efficient market hypothesis. Despite the extensive evidence of market anomalous from the U.S market, empirical studies on the Australian equity market are limited. This study investigates a number of anomalous including PE ratios, Price-to-book ratios and the firm size effect in an Australia context. The preliminary results suggest that PE ratios and firm size do not have power in predicting stock returns. However, significant returns are found to be associated with low Price-to-book ratios.
Citation
International Proceedings of Computer Science and Information Technology (IPCSIT), v.36, p. 275-280
ISSN
2010-460X
Link
https://hdl.handle.net/1959.11/10134
Language
en
Publisher
International Association of Computer Science and Information Technology (IACSIT)
Title
Information Content of PE Ratio, Price-to-book Ratio and Firm Size in Predicting Equity Returns
Type of document
Conference Publication
Entity Type
Publication

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