Download Full Text (319 KB)
Academic studies by Eugene Fama and Kenneth French as well as Robert Novy Marx identify profitability as one of the factors determining the variation in excess returns in the cross section of stock returns. Using return on equity (ROE) as my measure of profitability and the S&P 500 as my universe of stocks, I examine the impact of ROE on S&P 500 stock performance for the period 2009 - 2014. I test the following hypotheses with respect to ROE: (1) Portfolios of firms with high ROE's (40% or higher) outperform the market with persistence i.e. over long periods of time, (2) Growth firms with high ROE's outperform value firms with high ROE's, (3) Portfolios of high ROE firms outperform portfolios of low ROE firms.
Trevor C Collier
Primary Advisor's Department
Economics & Finance
Stander Symposium poster
Arts and Humanities | Business | Education | Engineering | Life Sciences | Medicine and Health Sciences | Physical Sciences and Mathematics | Social and Behavioral Sciences
Imhoff, Andrew M., "Do High ROE Stocks Outperform the Market with Persistence: An Empirical Analysis, 2009 - 2014" (2016). Stander Symposium Posters. 723.
Arts and Humanities Commons, Business Commons, Education Commons, Engineering Commons, Life Sciences Commons, Medicine and Health Sciences Commons, Physical Sciences and Mathematics Commons, Social and Behavioral Sciences Commons