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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
Han, Sam
Issue Date
2001-12
Publisher
College of Business Administration (경영대학)
Citation
Seoul Journal of Business Vol7(1): 45~64(2001)
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
URI
http://hdl.handle.net/10371/1649
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College of Business Administration/Business School (경영대학/대학원)Dept. of Business Administration (경영학과)Seoul Journal of BusinessSeoul Journal of Business Volume 07, Number 1 (2001)
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