Rates of Return on Common Stock

An Analysis of Relative Industry Price‐Earnings Ratios

“…This finding was subsequently confirmed in studies by Brigham and Pappas [3], and Reilly and Drzycimski [25]. Latane and Tuttle examined a cross-section of industries over different time periods and found wide variance in the returns among industries 1141.…”

Empirical Evidence Of Sector Rotation: A Case Study Of Old Economy Industry And New Economy Industry

“…Traditionally, academic studies and practitioners have employed the Jensen model (Jensen, 1968 and1969) (hereafter called Jensen Alpha) to measure returns of managed portfolios. Despite many criticisms associated with Jensen Alpha (See Roll (1978), and Lee and Rahman (1990)), Grinblatt and Titman (1993) found that inferences still can be drawn from different empirical measures as long as the same benchmark portfolios are adapted in a study.…”

“…The excess return is computed by subtracting a daily ten-year TBond yield from the daily industry return and from the daily market return, respectively. 2 An intercept obtained from regression is the Jensen Alpha, which indicates abnormal returns (See Chang, Ma, Tsai and Yur-Austin (1999)). A positive value is preferred, and it indicates the industry earns return in excess of its risk-adjusted or market-adjusted required rate of return.…”

“…Later, Brigham and Pappas (1969) reported supportive evidence, which indicated significant variations in returns among industries, and moreover, stocks within an industry also presented considerable returns variations. Thus, it is worthwhile for investors exploring different industries likely to perform well in the future.…”

An Examination of the Yields of Corporate Bonds and Stocks

“…The Brigham and Pappas [3] 658 stock sample was also tested in a similar manner with even better results. While this is not adequate statistical proof that a 50 stock and 50 bond random sample is sufficient to generalize to the universe from which it was drawn, it does suggest that our particular samples can serve as a reasonable proxy to the universe.…”