Walkshaeusl, Christian (2017) Expectation Errors in European Value-Growth Strategies. REVIEW OF FINANCE, 21 (2). pp. 845-870. ISSN 1572-3097, 1573-692X
Full text not available from this repository.Abstract
This article tests Piotroski and So's (2012) market expectation errors approach to value-growth investing in European equity markets. As in the USA, European value-growth returns are concentrated among firms with existent market expectation errors, but absent among firms without such errors which can be ex ante identified by interacting book-to-market with FSCORE, an accounting-based measure of the firm's fundamental strength. The returns to an expectation errors-based value-growth strategy are highly persistent for up to three years after portfolio formation, pervasive among large firms, and cannot be explained by common risk factors. However, consistent with a mispricing-based interpretation, prior external financing activities significantly influence these market expectation errors. A financing-based misvaluation factor can explain the return behavior of value-growth strategies formed along market expectations errors.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | STOCK RETURNS; INTERNATIONAL EVIDENCE; CROSS-SECTION; INVESTMENT; SHARE; RISK; INFORMATION; MOMENTUM; WINNERS; ISSUES; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 14 Dec 2018 13:00 |
| Last Modified: | 20 Feb 2019 14:10 |
| URI: | https://pred.uni-regensburg.de/id/eprint/247 |
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