Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis

• 成果类型: Article
• 署名作者: Aharoni, Gil; Grundy, Bruce; Zeng, Qi
• 署名单位: University of Melbourne
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.08.003
• 发表日期: 2013
• 页码: 347-357
• 关键词: BOOK-TO-MARKET; profitability; INVESTMENT; EXPECTED RETURN

摘要

Fama and French (2006) use the dividend-discount model to develop the role of expected profitability, expected investment, and the book-to-market ratio as predictors of stock returns. One reported empirical result is anomalous. The valuation model establishes that the comparative static relation between expected returns and expected investment is negative, yet it appears to be positive and insignificant. We show that the posited valuation relations apply at the firm level, and not at the per share level at which they were tested. Once the variables are measured at the firm level, all the Fama French predictions are validated. (C) 2013 Elsevier B.V. All rights reserved.