Ibbotson's default premium: Risky data

WG Hallerbach, P Houweling - The Journal of Investing, Summer, 2011 - papers.ssrn.com
Abstract Ibbotson's “Stocks, Bonds, Bills and Inflation” data set is widely used because it
provides monthly US financial data series going back to as early as 1926. In this data set …

Share prices and price/earnings ratios as predictors of fraud prior to a fraud announcement

J Weske, L Benuto - Academy of Accounting and Financial …, 2015 - search.proquest.com
The purpose of this quantitative study was to test the efficient market hypothesis by
determining the extent to which changes in share price and price/earnings (P/E) ratios prior …

The Cross-Section of Stock Returns before CRSP

G Baltussen, B van Vliet, P Van Vliet - Available at SSRN 3969743, 2023 - papers.ssrn.com
We comprehensively study the cross-section of stock returns out-of-sample using a novel
constructed database of US stocks between 1866-1926. Results over this 'pre-CRSP'era …

The Chimera of Small Stock Outperformance: Market Anomaly or Investor Self-Deception?

EF McQuarrie - The Journal of Investing, 2010 - pm-research.com
Many investors suppose the outperformance of small stocks to be settled knowledge backed
up by academic research. This article shows that the historical evidence for small stock …