alexa Using Historical Financial Statements to Separate Winning from Losing Value Stocks in Canada: Interlisted Vs. Non-Interlisted Stocks

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Using Historical Financial Statements to Separate Winning from Losing Value Stocks in Canada: Interlisted Vs. Non-Interlisted Stocks

The purpose of this paper is two-fold. First, to determine whether there is value premium in our sample of Canadian non-interlisted and interlisted stocks for the period May 1, 1985-April 30, 2010. Second, to examine whether an additional screening to the first step of the value investing process can be employed to separate the good value stocks from the bad ones. For both non-interlisted and interlisted stocks, we document a consistently strong value premium over the sample period, which persists in both bull and bear markets, as well as in recessions and recoveries for noninterlisted stocks, but less so for interlisted stocks. We show that the value premium is not driven by a few outliers, but it is pervasive. Interlisted stocks have a higher value premium than non-interlisted stocks.

 
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