Earnings-to-Price Ratio

⚠ weakened

EPValue· Accounting data

ib / lag(market value of equity, 6 months). NYSE stocks only. Exclude if EP < 0. Lag simulates the Dec 31 market equity used in original paper

A recomputed, out-of-sample-scored replication of this factor is available — verdict dormant, OOS Sharpe 0.25.

IS Sharpe (1951–1976)

0.564

+5.5% p.a.

OOS Sharpe (1977–2024)

0.269

+2.7% p.a.

Sharpe decay

+52.3%

(IS − OOS) / |IS|

IS vol

9.7%

annualized

Cumulative return (last 40 years, monthly)

+133%

1984-012024-12

Publication details

AuthorsBasu

PaperBasu (1977)

JournalJournal of Finance

Publication year1977

Original sample1957–1971