Predicting returns with financial ratios
Predicting returns with financial ratios
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DOI：
10.1016/j.jfineco.2002.11.002
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发表时间：
2004-11-01
影响因子：
8.9
通讯作者：
Lewellen, J
中科院分区：
文献类型：
--
作者：
Lewellen, J
本文研究股息收益率等财务比率是否可以预测股票总回报。预测回归会受到小样本偏差的影响，但先前研究使用的修正可能会大大低估预测能力。我证明股息收益率可以预测 1946 年至 2000 年期间以及各个子样本中的市场回报。账面市值比和市盈率预测 1963-2000 年较短样本期间的回报。尽管近年来价格异常上涨，但证据仍然很充分。 (C) 2004 Elsevier B.V. 保留所有权利。
This article studies whether financial ratios like dividend yield can predict aggregate stock returns. Predictive regressions are subject to small-sample biases, but the correction used by prior studies can substantially understate forecasting power. I show that dividend yield predicts market returns during the period 1946-2000, as well as in various subsamples. Book-to-market and the earnings-price ratio predict returns during the shorter sample 1963-2000. The evidence remains strong despite the unusual price run-up in recent years. (C) 2004 Elsevier B.V. All rights reserved.