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The investment return puzzle on the Johannesburg Stock Exchange
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Pravin Semnarayan --- Gordon Institute of Business Science, University of Pretoria, South Africa Michael Ward --- Gordon Institute of Business Science, University of Pretoria, South Africa Chris Muller --- Gordon Institute of Business Science, University of Pretoria, South AfricaFirms that invest into positive net present value projects should outperform firms that do not invest. Surprisingly, several studies on United States data have found a negative relationship between capital investment and subsequent shareholder return. There are conflicting explanations for... -
Fundamental analysis, low accruals, and the accrual anomaly: Korean evidence
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Young Jun Kim --- , Republic of Korea Jung Hoon Kim --- , USA Sewon Kwon --- , Republic of Korea Su Jeong Lee --- , Republic of KoreaPrior studies in Korea document that low accrual firms yield extremely low returns, driving away abnormal returns of an accrual-based trading strategy. We examine whether the performance of an accrual-based trading strategy can be improved using fundamental analysis to distinguish... -
Firm quality and stock returns: Evidence from India
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Sanjay Sehgal --- , India Asheesh Pandey --- , IndiaUsing data for 1 848 companies, we find that quality increases, not quality, drive stock returns in India. Profitability and safety seem to be relevant attributes for measuring quality. Our cross-sectional tests show that the role of quality in predicting... -
The highest-lowest price range and the cross-sectional returns predictability
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Xiaojun Chu --- , China Shuang Song --- , ChinaMotivated by literature on heterogeneous investors, we use the difference between the highest and lowest prices to proxy the intensity of competition among bullish-bearish investors and investigate its significance in the cross-sectional pricing of stocks. Portfolio-level analyses and cross-sectional regressions...