Trading based on forecasts of earnings per share. A test of the efficient market hypothesis

  • Schlater J
  • Haugen R
  • Wichern D
  • 4

    Readers

    Mendeley users who have this article in their library.
  • 2

    Citations

    Citations of this article.

Abstract

In this paper the semi-strong form of the efficient market hypothesis is tested with a trading rule based on Box-Jenkins forecasts of earnings per share numbers. The quarterly earnings per share series are modeled for a number of firms. The models are updated quarter by quarter and investments are made in the stocks with the largest forecasted growth rates for the next quarter. The risk-adjusted performance of such a strategy is shown to be inconsistant with semi-strong market efficiency. © 1980.

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document

Authors

  • John E. Schlater

  • Robert A. Haugen

  • Dean W. Wichern

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free