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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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dc.contributor.authorHan, Sam-
dc.date.accessioned2009-02-25T07:48:20Z-
dc.date.available2009-02-25T07:48:20Z-
dc.date.issued2001-12-
dc.identifier.citationSeoul Journal of Business Vol7(1): 45~64(2001)en
dc.identifier.issn1226-9816-
dc.identifier.urihttp://hdl.handle.net/10371/1649-
dc.description.abstractThis 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.-
dc.language.isoenen
dc.publisherCollege of Business Administration (경영대학)en
dc.subjectvalue to priceen
dc.subjectVP ratioen
dc.subjectROE tradingen
dc.titleA Comparative Analysis of ROE and Value-to-Price Based Trading Rules : Do Conventional Risk Factors Matter ?en
dc.typeSNU Journalen
dc.contributor.AlternativeAuthorKang, Tony-
dc.contributor.AlternativeAuthor한삼-
Appears in Collections:
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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