Main papers that analyze the relation between fundamental variables and stock return
| Variables | ||||
|---|---|---|---|---|
| Empirical evidence | Country | B/M | ROE | Method |
| Fairfield (1994) | USA | X | X | Accounting valuation model |
| Ryan (1995) | USA | X | B/M decomposition | |
| Berk (1995) | USA | X | Market value decomposition | |
| Berk (1997) | USA | X | Portfolio analysis/regression | |
| Frankel and Lee (1998) | USA | X | X | Accounting valuation model |
| Pontiff and Schall (1998) | USA | X | Regression analysis | |
| Lev and Sougiannis (1999) | USA | X | X | Portfolio analysis/regression |
| Beaver and Ryan (2000) | USA | X | X | B/M decomposition |
| Billings and Morton (2001) | USA | X | B/M decomposition | |
| Vuolteenaho (2002) | USA | X | X | VAR model |
| Chen and Zhao (2006) | USA | X | Portfolio analysis/regression | |
| Clubb and Naffi (2007) | UK | X | X | Regression analysis |
| Fama and French (2008) | USA | X | B/M decomposition | |
| Almeida and Eid (2010) | Brazil | X | B/M decomposition | |
| Skogsvik and Skogsvik (2010) | Sweden | X | Accounting valuation model | |
| Dorantes (2013) | Mexico | X | Portfolio analysis/regression | |
| Lee and Zhang (2014) | USA and China | X | Portfolio analysis/regression | |
| Evrard et al. (2015) | Brazil | X | X | Forward selection regression/event study |
| Variables | ||||
|---|---|---|---|---|
| Empirical evidence | Country | B/M | ROE | Method |
| USA | X | X | Accounting valuation model | |
| USA | X | B/M decomposition | ||
| USA | X | Market value decomposition | ||
| USA | X | Portfolio analysis/regression | ||
| USA | X | X | Accounting valuation model | |
| USA | X | Regression analysis | ||
| USA | X | X | Portfolio analysis/regression | |
| USA | X | X | B/M decomposition | |
| USA | X | B/M decomposition | ||
| USA | X | X | VAR model | |
| USA | X | Portfolio analysis/regression | ||
| UK | X | X | Regression analysis | |
| USA | X | B/M decomposition | ||
| Brazil | X | B/M decomposition | ||
| Sweden | X | Accounting valuation model | ||
| Mexico | X | Portfolio analysis/regression | ||
| USA and China | X | Portfolio analysis/regression | ||
| Brazil | X | X | Forward selection regression/event study | |
Note: X = yes
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