Predicting returns with financial ratios

• 成果类型: Article
• 署名作者: Lewellen, J
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2002.11.002
• 发表日期: 2004
• 页码: 209-235
• 关键词: PREDICTIVE REGRESSIONS; BIAS; Expected returns; equity premium

摘要

This article studies whether financial ratios like dividend yield can predict aggregate stock returns. Predictive regressions are subject to small-sample biases, but the correction used by prior studies can substantially understate forecasting power. I show that dividend yield predicts market returns during the period 1946-2000, as well as in various subsamples. Book-to-market and the earnings-price ratio predict returns during the shorter sample 1963-2000. The evidence remains strong despite the unusual price run-up in recent years. (C) 2004 Elsevier B.V. All rights reserved.