Publications
Detailed Information
A Comparative Analysis of ROE and Value-to-Price Based Trading Rules : Do Conventional Risk Factors Matter ?
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Han, Sam | - |
dc.date.accessioned | 2009-02-25T07:48:20Z | - |
dc.date.available | 2009-02-25T07:48:20Z | - |
dc.date.issued | 2001-12 | - |
dc.identifier.citation | Seoul Journal of Business, Vol.7 No.1, pp. 45-64 | - |
dc.identifier.issn | 1226-9816 | - |
dc.identifier.uri | https://hdl.handle.net/10371/1649 | - |
dc.description.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. | - |
dc.language.iso | en | - |
dc.publisher | College of Business Administration (경영대학) | - |
dc.subject | value to price | - |
dc.subject | VP ratio | - |
dc.subject | ROE trading | - |
dc.title | A Comparative Analysis of ROE and Value-to-Price Based Trading Rules : Do Conventional Risk Factors Matter ? | - |
dc.type | SNU Journal | - |
dc.contributor.AlternativeAuthor | Kang, Tony | - |
dc.contributor.AlternativeAuthor | 한삼 | - |
dc.citation.journaltitle | Seoul Journal of Business | - |
dc.citation.endpage | 64 | - |
dc.citation.number | 1 | - |
dc.citation.pages | 45-64 | - |
dc.citation.startpage | 45 | - |
dc.citation.volume | 7 | - |
- Appears in Collections:
- Files in This Item:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.