Sample-Dependent Results Using Accounting and Market Data: Some Evidence

Banz, Rolf W.; Breen, William J.

doi:10.2307/2328228

Cited by 54 publications

(27 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The authority requires listed firms to release their previous year's annual report before April 30 and noncompliance is rare. To avoid look ahead bias cautioned by Banz and Breen (1986) where researchers use data which are not yet available to investors, the accounting data from calendar year t − 1 are used to match the returns from May of year t to April of year t + 1.…”

Section: Definition and Descriptive Statistics Of Variablesmentioning

confidence: 99%

The Cross-Section of Stock Returns on The Shanghai Stock Exchange

Wong

Tan

Wei³

2006

Rev Quant Finan Acc

View full text Add to dashboard Cite

This study explores the cross-sectional stock return behavior on the A-share market of the Shanghai Stock Exchange (SSE), which is segmented from world's other equity markets. We estimate the effects of beta, firm size, book-to-market equity ratio and a variable unique to the Chinese stock markets, the proportion of firm's floating (tradable) equity over total equity on SSE stocks over the period 1993–2002. We find that smaller firms and value stocks perform better. Systematic risk is negatively significant in down markets. The proportion of floating equity has no direct effect on stock returns. Copyright Springer Science + Business Media, Inc. 2006stock market, cross-sectional analysis, China,

show abstract

Section: Definition and Descriptive Statistics Of Variablesmentioning

confidence: 99%

The Cross-Section of Stock Returns on The Shanghai Stock Exchange

Wong

Tan

Wei³

2006

Rev Quant Finan Acc

View full text Add to dashboard Cite

show abstract

“…See, for example, Banz and Breen [1986] and Lo and MacKinlay [1990]. 3 Lee, Porter, and Weaver [1998] discuss other possible explanations.…”

Section: Endnotesmentioning

confidence: 99%

The January Effect and the Global Value-Growth Premium

Arshanapalli

Coggin²,

Nelson

2002

JOI

View full text Add to dashboard Cite

“…For this reason, we decide to form portfolios and measure their performance at the end of June, so that our tests would be predictive in nature both for companies with December and March fiscal year-ends, and so that we do not use accounting information that is not actually available to the investor at the time of portfolio formation. We thus avoid a possible look-ahead bias (see Banz and Breen [1986]). 5 Our results are consistent with the average annual returns of Hoare Govett, the well-established U.K. small-cap index, over the same period.…”

Section: Endnotesmentioning

confidence: 99%