Financial statement information and the prédiction of stock returns in a small capital market: the case of Belgium

The most common definition of efficient stock markets states that in such markets prices fully reflect all available information. This obviously implies that in order for a market to be deemed (semi-strongly) efficient, it should not be possible to earn abnormal returns using trading strategies based on publicly available accounting data. However, especially since the late 1980s, a number of such trading strategies have been shown to be lucrative. In the underlying paper the profitability of two investment strategies that were originally developed on the basis of U.S. data is investigated for... Mehr ...