Accounting valuation, market expectation, and cross-sectional stock returns

• 成果类型: Article
• 署名作者: Frankel, R; Lee, CMC
• 署名单位: Cornell University; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/S0165-4101(98)00026-3
• 发表日期: 1998
• 关键词: contrarian investment strategies; ANALYSTS FORECASTS; earnings; INFORMATION; performance; superiority; tests; RISK

摘要

This study examines the usefulness of an analyst-based valuation model in predicting cross-sectional stock returns. We estimate firms' fundamental values (V) using I/B/E/S consensus forecasts and a residual income model. We find that V is highly correlated with contemporaneous stock price, and that the VIP ratio is a good predictor of long-term cross-sectional returns. This effect is not explained by a firm's market beta, B/P ratio, or total market capitalization. In addition, we find errors in consensus analyst earnings forecasts are predictable, and that the predictive power of V/P can be improved by incorporating these errors. (C) 1998 Elsevier Science B.V. All rights reserved.