EP
Earnings-to-Price — Basu 1977
Value
Quick facts
| Factor ID | EP |
| Display name | Earnings-to-Price |
| Family | Predictor |
| Category | Value |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Basu 1977 |
| Source tables | income;daily_basic |
| Required fields | net_profit;mkt_cap_cmp |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 679,607 rows · 99.2% of panel |
Formula
net_profit / mkt_cap_cmp
Net income scaled by total market capitalization with point-in-time financial availability.
China adaptation
Prefer trailing twelve month net income once quarterly PIT stitching is stable.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.3470% |
| Monthly std | 4.3188% |
| Annualized Sharpe | 0.28 |
| t-stat (simple) | 1.12 |
| Hit rate (months > 0) | 52.8% |
| Last 12M compounded | -12.38% |
| Cumulative wealth (start = 1) | 1.635 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -4.26% | 1.787 | 5134 |
| 2025-06 | -0.56% | 1.777 | 5145 |
| 2025-07 | -1.27% | 1.754 | 5147 |
| 2025-08 | +0.52% | 1.763 | 5150 |
| 2025-09 | -0.24% | 1.759 | 5157 |
| 2025-10 | -4.61% | 1.678 | 5163 |
| 2025-11 | +3.90% | 1.743 | 5168 |
| 2025-12 | +0.34% | 1.749 | 5182 |
| 2026-01 | -2.45% | 1.707 | 5181 |
| 2026-02 | +2.29% | 1.746 | 5186 |
| 2026-03 | -4.08% | 1.674 | 5188 |
| 2026-04 | -2.34% | 1.635 | 5185 |
Known data issues
Current implementation uses latest announced net profit not a fully stitched TTM measure.
Notes
China value literature often favors EP over BM after shell-value adjustment.
See also: Value family, Factor library, Factor returns.