The price-earnings relation can be characterized as a system of simultaneous equations. Earnings may change for reasons that do not lead to price changes and vice versa. Hence each behaves as if it is quot;measured with errorquot; for purposes of estimating the sensitivity coefficients....

We show that tests of market efficiency are sensitive to the inclusion of delisting firm-years. When included, trading strategy returns based on anomaly variables can increase (for strategies based on earnings, cash flows and the book-to-market ratio) or decrease (for a strategy based on...

We show that tests of market efficiency are sensitive to the inclusion of delisting firm-years. When included, trading strategy returns based on anomaly variables can increase (for strategies based on earnings, cash flows and the book-to-market ratio) or decrease (for a strategy based on...