Book-to-market ratios as predictors of market returns

• 成果类型: Article
• 署名作者: Pontiff, J; Schall, LD
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00020-8
• 发表日期: 1998
• 页码: 141-160
• 关键词: BOOK-TO-MARKET; book value; cash flow; Forecast; Market return; prediction; predictor; Dow Jones Industrial Average; Standard and Poors

摘要

The bask-to-market ratio of the Dow Jones Industrial Average predicts market returns and small firm excess returns over the period 1926-1994. The DJIA book-to-market ratio contains information about future returns that is not captured by other variables such as interest yield spreads and dividend yields. The DJIA book-to-market ratio's predictive ability is specific to the pre-1960 sample. In contrast, the S&P book-to-market ratio provides some predictive ability in the post-1960 period, although this relation is dramatically weaker than the Dow Jones pre-1960 findings. The predictive ability of book-to-market ratios appears to stem from the relation between book value and future earnings. (C) 1998 Elsevier Science S.A. All rights reserved.