What is the intrinsic value of the dow?

• 成果类型: Article
• 署名作者: Lee, CLMC; Myers, J; Swaminathan, B
• 署名单位: Cornell University; University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00164
• 发表日期: 1999
• 页码: 1693-1741
• 关键词: expected stock returns; time-series regression; dividend yields; unit-root; equity; MARKET; RISK

摘要

We model the time-series relation between price and intrinsic Value as a cointegrated system, so that price and Value are long-term convergent. In this framework, we compare the performance of alternative estimates of intrinsic Value for the Dow 30 stocks. During 1963-1996, traditional market multiples (e.g., B/P, E/P, and D/P ratios) have little predictive power. However, a V/P ratio, where V is based on a residual income Valuation model, has statistically reliable predictive power. Further analysis shows time-varying interest rates and analyst forecasts are important to the success of V. Alternative forecast horizons and risk premia are less important.