The Economics of Security Analysis

• 成果类型: Article
• 署名作者: Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu
• 署名单位: University System of Ohio; Ohio State University; Louisiana State University System; Louisiana State University; University System of Ohio; University of Cincinnati; National Bureau of Economic Research
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4640
• 发表日期: 2024
• 关键词: Investment CAPM; cross-sectionally varying expected returns; Graham and Dodd (1934); security analysis; active equity funds; the q5 model; Buffett?s alpha

摘要

The investment capital asset pricing model, in which expected returns vary cross-sectionally with investment, profitability, and expected growth, provides an equilibrium foundation for Graham and Dodd's security analysis. The q5 model is a good start to explaining prominent security analysis strategies, such as Abarbanell and Bushee's fundamental signals, Frankel and Lee's intrinsic to market, Greenblatt's magic formula, Asness et al.'s quality minus junk, Bartram and Grinblatt's agnostic analysis, operating cash flow to market, and Penman and Zhu's expected-return strategy as well as best performing active discretionary funds, such as Buffett's Berkshire Hathaway.