The disappearing abnormal returns to a fundamental signal strategy
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DOI: 10.1108/mf-05-2016-0142
Abstract: Purpose The purpose of this paper is to examine whether abnormal returns to a fundamental signal (FS) strategy disappear after the publication of Abarbanell and Bushee (1998). Design/methodology/approach Using data on NYSE/AMEX firms from 1974… read more here.
Keywords: signal strategy; returns fundamental; fundamental signal; disappearing abnormal ... See more keywords