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A Log-linear Present-value Approach
出版Harvard Business School, 2018
URLhttp://books.google.com.hk/books?id=cId9tQEACAAJ&hl=&source=gbs_api
註釋Expected return proxies (ERP) derived from a log-linear present-value (LPV) framework--combining the book value of equity, profitability, and market prices--predict the cross section of out-of-sample returns in 26 of 29 international equity markets, with a highly significant average slope coefficient of close to 1. In contrast, ERPs based on the implied cost of equity (or factor models) fail to exhibit systematic predictive power internationally, which is due in large part to functional form, rather than earnings-forecast, errors. LPV models derived using common valuation anchors such as earnings or sales also exhibit predictive ability. LPV ERPs based on the book value of equity and sales subsume the predictive ability of all other ERPs we examine. Collectively, the LPV framework offers a parsimonious accounting-based approach for the estimation of expected returns across international markets.