Performance of high and low book-to-market stocks with strong financial signals: Evidence in Asia markets 1991-2002

• Main Authors: KANG, Choong Seok Joseph, DING, Kuan Yong David
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2003
• Subjects: Asian stock markets; Firm-size effect; Book-to-market (BTM) effect; High BTM and low BTM portfolios; Glamour and value stocks; Fundamental analysis; Financial signals; Finance
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5335; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6334/viewcontent/SSRN_id499663__1_.pdf
• Institution: Singapore Management University

Motivated by striking findings in recent US studies on return enhancing role in financial signals, we examine in the context of Asian stock markets if we can improve one- and two-year returns of high and low book-to-market (BTM) portfolios by retaining in the portfolios only the stocks whose current...