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A Comparative Analysis of ROE and Value-to-Price Based Trading Rules : Do Conventional Risk Factors Matter ?
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- Authors
- Issue Date
- 2001-12
- Citation
- Seoul Journal of Business, Vol.7 No.1, pp. 45-64
- Keywords
- value to price ; VP ratio ; ROE trading
- Abstract
- This paper examines the profitability of ROE and value to price (VP) based trading rules. We find that the ROE based trading rule generates significant hedge portfolio return over 12-month period after portfolio formation. In addition, we find that the ROE-based trading rule significantly under-performs trading rules based on VP ratio, especially over longer horizon. However, the result indicates that the profitability of the ROE trading rule is by and large subsumed by the conventional risk factors.
- ISSN
- 1226-9816
- Language
- English
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