1979
DOI: 10.3905/jpm.1979.53
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A Test of Market Efficiency

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Cited by 9 publications
(4 citation statements)
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“…Table 3 reveals that correlations between SUE and E/P are effectively zero or negative in the interior of the SUE or E/P distribution, but are moderately positive in the tails of each distribution, particularly for large firms. Though the data in this study differ from those in Bidwell (1979) and Latane, Joy, and Jones (1970), the correlations in Table 3 suggest that the marginal predictive power of E/P in the SUE tails in these papers may only reflect E/P as a proxy for SUE.…”
Section: A Test For An E/p Effect Controlling For Suecontrasting
confidence: 66%
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“…Table 3 reveals that correlations between SUE and E/P are effectively zero or negative in the interior of the SUE or E/P distribution, but are moderately positive in the tails of each distribution, particularly for large firms. Though the data in this study differ from those in Bidwell (1979) and Latane, Joy, and Jones (1970), the correlations in Table 3 suggest that the marginal predictive power of E/P in the SUE tails in these papers may only reflect E/P as a proxy for SUE.…”
Section: A Test For An E/p Effect Controlling For Suecontrasting
confidence: 66%
“…Tests for a relationship between E/P ratios and post‐announcement excess returns controlling for SUE are conducted here, using a methodology that differs from that of previous papers investigating joint E/P and SUE effects. In Latane, Joy, and Jones (1970) and Bidwell (1979), a two‐step sort procedure is performed that (1) forms a portfolio of stocks in the upper X percent tail of the SUE distribution, (2) ranks these stocks on E/P, and (3) forms a second portfolio from stocks with the highest E/Ps in the upper X percent SUE tail. If the portfolio formed in step (3) earns higher risk‐adjusted returns than the step (1) portfolio, using the E/P ratio jointly with SUE is said to improve investment performance.…”
Section: A Test For An E/p Effect Controlling For Suementioning
confidence: 99%
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“…Adapted from Bernard (1993). Return ) 1972-1979Bernard & Thomas (1989-1986) 1965-1971 To be included in this compilation, the published article had to report new evidence on the relation between earnings quarterly earnings surprises and post-announcement stock returns, the post-announcement period had to span at least 60 trading days. Survey articles and studies investigating earnings announcement stock returns over a narrow trading window (less than 60 days) were excluded.…”
Section: Discussionmentioning
confidence: 99%