Date of Award
8-2013
Degree Type
Thesis
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Tyler Brough
Committee
Tyler Brough
Abstract
In this work I reexamined Basu’s 1977 work using an out-of-sample, out-of-period test on the returns of a sample of common stock for the period February 2003 to December 2012, from the viewpoint of a rational investor wishing to use data for investment approaches. The data was examined for normalcy, and similar methodology and definitions of ratios and return were used in order to closely follow Basu’s work. I found that the assets in the sample used here do not display the same results found by Basu in regard to the relationship between returns and price-earnings ratio under either the capital asset pricing model, used by Basu, or the more recent Fama-French three factor model.
Recommended Citation
Criddle, Richard John, "Investment Performance and Price-Earnings Ratios: Basu 1977 Revisited" (2013). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 326.
https://digitalcommons.usu.edu/gradreports/326
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