In 1981, Sanjoy Basu’s paper, “The Relationship Between Earnings’ Yield, Market Value and Return for NYSE Common Stocks,” found that the positive relationship between the earnings yield (E/P) and average return is left unexplained by market beta.
Then, in 1985, Barr Rosenberg, Kenneth Reid and Ronald Lanstein uncovered the positive relationship between average stock returns and book-to-price (B/P) ratio in their paper, “Persuasive Evidence of Market Inefficiency.”
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