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Rankings of Published Price-Earnings Ratios and Value Investor Attention.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Rankings of Published Price-Earnings Ratios and Value Investor Attention./
Author:	Moore, Jordan.
Description:	1 online resource (79 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 79-02(E), Section: A.
Contained By:	Dissertation Abstracts International79-02A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780355240795

Rankings of Published Price-Earnings Ratios and Value Investor Attention.
Moore, Jordan.

Rankings of Published Price-Earnings Ratios and Value Investor Attention. - 1 online resource (79 pages)

Source: Dissertation Abstracts International, Volume: 79-02(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

Price-earnings (P/E) ratios are the most popular proxy for fundamental value and are widely published using a common methodology. This paper provides evidence that stocks with extreme published P/E rankings are especially salient to individual value investors. Stocks with high P/E rankings earn high average returns on high trading volume and are especially liquid. Stocks with low P/E rankings earn low average returns on low volume and especially high idiosyncratic volatility. Value strategies using published P/E ratios are significantly more profitable than value strategies using lagged P/E ratios or published book-to-market ratios. Published P/E strategy returns are robust to fundamental factors, momentum in prices and earnings individually, and alternative attention proxies. The weekly pattern in daily average returns is in line with the weekly pattern in individual investor trading activity. Financial data providers only publish P/E ratios for stocks with positive earnings. Consistent with the role of attention, P/E rankings only predict returns, changes in trading volumes, and liquidity premiums for stocks with positive earnings.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355240795Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Rankings of Published Price-Earnings Ratios and Value Investor Attention.
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500 $a Source: Dissertation Abstracts International, Volume: 79-02(E), Section: A.
500 $a Adviser: Ron Kaniel.
502 $a Thesis (Ph.D.) $c University of Rochester $d 2017.
504 $a Includes bibliographical references
520 $a Price-earnings (P/E) ratios are the most popular proxy for fundamental value and are widely published using a common methodology. This paper provides evidence that stocks with extreme published P/E rankings are especially salient to individual value investors. Stocks with high P/E rankings earn high average returns on high trading volume and are especially liquid. Stocks with low P/E rankings earn low average returns on low volume and especially high idiosyncratic volatility. Value strategies using published P/E ratios are significantly more profitable than value strategies using lagged P/E ratios or published book-to-market ratios. Published P/E strategy returns are robust to fundamental factors, momentum in prices and earnings individually, and alternative attention proxies. The weekly pattern in daily average returns is in line with the weekly pattern in individual investor trading activity. Financial data providers only publish P/E ratios for stocks with positive earnings. Consistent with the role of attention, P/E rankings only predict returns, changes in trading volumes, and liquidity premiums for stocks with positive earnings.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Rochester. $b William E. Simon Graduate School of Business Administration. $3 1180760
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