High value-to-price stocks earn larger one-to-three-year returns than low V/P stocks, and Fama-French five-factor alphas remain positive for the highest V/P quintile in years two and three.
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Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy
High value-to-price stocks earn larger one-to-three-year returns than low V/P stocks, and Fama-French five-factor alphas remain positive for the highest V/P quintile in years two and three.