Does Noise Create the Size and Value Effects? Black (1986) and Summers (1986) suggest that the price of a stock can deviate from its intrinsic value by a random noise. In this paper, we show that a stock with such a noise has a higher expected return when its market capitalization or price-dividend ratio is low, because a low market capitalization or price-dividend ratio is a signal that the no...

This paper discusses nonparametric series estimation of integrable cointegration models using Hermite functions. We establish the uniform consistency and asymptotic normality of the series estimator. The Monte Carlo simulation results show that the performance of the estimator is numerically satisfactory. We then apply the estimator to estimate the stock return predictive function. The out–of–s...


 Control of Covid-19 has coincided with a period economic growth in Indonesia. The banking sector felt the effects this. purpose this study is to identify and analyze effect Earning Per Share, Debt Equity Ratio, Return on Assets stock prices. For duration research project (2019-2021), we will calculate financial ratios companies traded Indonesia Stock Exchange relative their Information f...

We examine a firm’s P/E ratio in the context of a model wherein firms make sequential investments in production capacity. In addition to investment growth, our analysis seeks to identify pricing power in the firm’s product markets and accounting conservatism as determinants of the P/E ratio. A benchmark result demonstrates that, given unbiased accounting, the firm’s P/E ratio can be expressed a...

the aim of this study was to assess the proportionality of sport books to beneficiaries' expectations and the role of marketing mix elements in marketing of these books. this research was a descriptive and field survey. three researcher-made questionnaires with confirmed validity and reliability were used to collect the data. the research hypotheses were examined by independent t test. the...

This paper documents that the earnings yield and book-to-price combine to predict equity returns in a way that is consistent with the rational pricing of risk. It is well known that earnings yields predict returns in the cross-section, consistent with standard formulas that show that the earnings yield equals the required return when there is no expected earnings growth beyond that from retenti...