Weak-form EMH: current stock prices fully reflect all security market information.
Semistrong-form EMH: security prices adjust rapidly to the release of all public information. The semistrong-form encompass the weak-form, and also includes all nonmarket information, such as earnings and dividend announcements, P/E, D/P, P/BV, stock splits, economy and political news, ect.
Strong-form EMH: stock prices fully reflect all information from the public and private sources.
When the two most significant variables - the dividend yield (D/P) and the bond default spread - are high, it implies that investors are expecting or requiring a high return on stocks and bonds. This occurs during poor economic environments.
Low P/E ratio stocks (low-growth firms) experienced superior risk-adjusted returns, whereas high P/E (high-growth firms) had significantly inferior risk-adjusted results.
Hypothesis of the inverse relation between the Price-Earnings/Growth Rate (PEG) ratio and the return: low PEG (<1) will have above-average returns, while high PEG (>3 or 4) will have below-average returns.
Small firms outperformed the large firms after considering risk and transaction costs, assuming annual rebalancing. Small firm effect is a long-term phenomenon.
A positive relationship between BV/MV ratio and the average return. More importantly, both Size and BV/MV ratio are significant when included together and they dominate other ratios. (It might only works during expansive monetary policy.)
Most studies found no short-term or long-term positive impact on security returns because of a stock split, although the results are not unanimous.
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