The book-to-price effect in stock returns: Accounting for leverage

• 成果类型: Article
• 署名作者: Penman, Stephen H.; Richardson, Scott A.; Tuna, Irem
• 署名单位: Columbia University; University of Pennsylvania
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2007.00240.x
• 发表日期: 2007
• 页码: 427-467
• 关键词: cross-section; RISK; equity; profitability; equilibrium; prediction; winners; losers

摘要

This paper lays out a decomposition of book-to-price (B/P) that derives from the accounting for book value and that articulates precisely how B/P absorbs leverage. The B/P ratio can be decomposed into an enterprise book-to-price (that pertains to operations and potentially reflects operating risk) and a leverage component (that reflects financing risk). The empirical analysis shows that the enterprise book-to-price ratio is positively related to subsequent stock returns but, conditional upon the enterprise book-to-price, the leverage component of B/P is negatively associated with future stock returns. Further, both enterprise book-to-price and leverage explain returns over those associated with Fama and French nominated factors-including the book-to-price factor-albeit negatively so for leverage. The seemingly perverse finding with respect to the leverage component of B/P survives under controls for size, estimated beta, return volatility, momentum, and default risk.