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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, Vol.7 No.1, pp. 45-64
Keywords
value to priceVP ratioROE 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
https://hdl.handle.net/10371/1649
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