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  • Value versus growth: Australian evidence

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    GharghoriPUB1523.pdf (332.2Kb)
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    Accepted Manuscript (AM)
    Author(s)
    Gharghori, Philip
    Stryjkowski, Sebastian
    Veeraraghavan, Madhu
    Griffith University Author(s)
    Veeraraghavan, Madhu
    Year published
    2013
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    Abstract
    The value‐growth effect is one of the most pervasive patterns in stock prices. In this study, the ability of four proxies for value‐growth, book‐to‐market, sales‐to‐price, earnings‐to‐price and cash‐flow‐to‐price to explain equity returns is analysed. The findings show that in aggregate, book‐to‐market best explains cross‐sectional variation in Australian equity returns, which in isolation suggests that it is the superior proxy for value‐growth. The analysis is taken further and the value‐growth effect is examined separately in positive and negative earnings firms. After segregating firms, it is found that in the negative ...
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    The value‐growth effect is one of the most pervasive patterns in stock prices. In this study, the ability of four proxies for value‐growth, book‐to‐market, sales‐to‐price, earnings‐to‐price and cash‐flow‐to‐price to explain equity returns is analysed. The findings show that in aggregate, book‐to‐market best explains cross‐sectional variation in Australian equity returns, which in isolation suggests that it is the superior proxy for value‐growth. The analysis is taken further and the value‐growth effect is examined separately in positive and negative earnings firms. After segregating firms, it is found that in the negative earnings sample, book‐to‐market is the best value‐growth proxy and in the positive earnings sample, cash‐flow‐to‐price has the highest level of significance and is thus the superior value‐growth proxy. The economic significance of this result is telling, as the firms that report positive earnings are much larger than those that report negative earnings.
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    Journal Title
    Accounting and Finance
    Volume
    53
    Issue
    2
    DOI
    https://doi.org/10.1111/j.1467-629X.2012.00474.x
    Copyright Statement
    © 2013 AFAANZ. This is the peer reviewed version of the following article: Value versus growth: Australian evidence, Accounting and Finance, Volume 53, Issue 2, Pages 393-417, 2013, which has been published in final form at https://doi.org/10.1111/j.1467-629X.2012.00474.x. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving (hhttp://olabout.wiley.com/WileyCDA/Section/id-828039.html)
    Subject
    Accounting, Auditing and Accountability not elsewhere classified
    Applied Economics
    Accounting, Auditing and Accountability
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/172401
    Collection
    • Journal articles

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