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A Further Inquiry Into The Market Value And Earnings' Yield Anaomalies, John W. Peavy, Iii, David A. Goodman
A Further Inquiry Into The Market Value And Earnings' Yield Anaomalies, John W. Peavy, Iii, David A. Goodman
Historical Working Papers
The apparent existence of two stock market anomalies, the earnings' yield (E/P ratio) and the market value (MV) effects, has stimulated considerable research. This study expands the E/P - MV literature by detecting the following: (1) both an E/P and a MV effect exist among a sample of industrial stocks over the 1970-1980 period; (2) using risk-adjusted returns, each of the E/P and MV effects persisted even after controlling the other; (3) an adjustment for a significant time bias in the returns data caused the MV anomaly to disappear after controlling for E/P ratios, but a significant E/P effect remained; …