Rankings of Published Price-Earnings Ratios and Investor Attention by Jordan Moore :: SSRN:
Jordan Moore shows that PE Rankings (independent of the PE ratio itself) are associated with returns. This is a cool finding. It is at least consistent a view that investors' screening practices impact their investment results.
"Results of empirical tests provide preliminary support for this P/E attention hypothesis.
In monthly time-series regressions, long-short decile portfolios earn average value-weighted
monthly excess returns of 101 basis points with an annual Sharpe ratio of 0.79 from 1974-
2013. In daily time-series regressions, long-short portfolios earn average value-weighted
daily excess returns of 16.99 basis points with an annual Sharpe ratio of 2.91 over the same
Monthly and daily trading strategies earn significant “alphas” after controlling for market,
size, value, profitability, and investment factors in the Fama and French (2014) five-factor
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