Relations between portfolio returns and market multiples

Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market

“…This indicates that stock returns are not evenly distributed across the days of the week. They are consistent with the results observed in several international markets such as those of French (1980), Aggrawal and Rivoli (1989) Barbee, Jeong and Mukherji (2008) Tripathy (2010) and Ulussever et al (2011) according to which the average return on Mondays is significantly less than the average of the other days of the week.…”

A Closer Look at Value Premium: Literature Review and Synthesis

“…An alternative three‐factor model in which the size factor was replaced with E/P factor explained the returns better, and adding the momentum factor further increased the explanatory power. The explanatory power of different portfolio formation criteria on subsequent stock returns seems to vary across both the stock markets and the sample periods (see also Barbee et al ., for recent U.S. evidence and Hou et al ., for global evidence). Beside Penman and Reggiani (), recent evidence of the E/P anomaly in the U.S. stock market is also documented by Li et al .…”

“…Barbee et al . () found that in the U.S. stock markets, S/P has the most consistently significant positive relation and the highest explanatory power with subsequent annual returns. According to the authors, S/P is an undervalued value measure, because investors may tend to focus more on E/P and B/P than on CF/P or S/P, resulting in the information contained in the first two multiples being more efficiently incorporated into stock returns than the information in the last two multiples.…”

“…However, the sales multiples do not indicate whether the sales have been generated without leverage or with maximum leverage, which certainly makes a difference to risks of the firms being compared. In spite of the above‐mentioned disadvantages, evidence has shown that S/P has worked surprisingly well as a relative valuation criterion (e.g., see Bird and Casavecchia, ; Barbee et al ., ; Gharghori et al ., ).…”

“…In addition to the evidence based on the portfolio formation approach, S/P was also documented to have the best explanatory power on subsequent returns among the individual valuation ratios in cross‐sectional regression tests by Barbee et al . (, ).…”