The Accuracy and Bias of Equity Values Inferred from Analysts' Earnings Forecasts
The Accuracy and Bias of Equity Values Inferred from Analysts' Earnings Forecasts
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从分析师盈利预测推断的股票价值的准确性和偏差
DOI：
10.2139/ssrn.253033
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发表时间：
2000
期刊：
影响因子：
--
通讯作者：
Takashi Yaekura
中科院分区：
文献类型：
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作者：
Theodore Sougiannis;Takashi Yaekura
我们评估在何种程度上可以从三个多期会计为基础的估值模型，使用共识分析师的盈利预测在四年的时间跨度得出公正和准确的估计股权价值。这些模型是（1）盈利资本化模型，（2）没有终值的剩余收益模型，以及（3）有终值的剩余收益模型，该模型假设剩余收益将以恒定的速度增长，该速度是根据预测期内的预期剩余收益增长率确定的。我们的分析基于通过将估计价格与实际价格进行比较而计算出的估值误差。我们发现，平均而言，分析师的盈利预测传达的价值信息超过了当前盈利、账面价值和股息所传达的信息。我们使用的每个模型都有估值误差，随着时间的增加而单调下降，这意味着每个时间段的盈利预测都传递了新的价值相关信息。在所有样本公司中，我们无法找到使用公司特定增长率而不是4%的恒定增长率的明显优势。此外，只有17%的估算增长率可用于终值计算。具有终值的剩余收益模型显示了平均最佳的业绩，但它只对48%的样本公司进行了更准确的估值。盈余资本化模型和剩余收益模型没有一个终端计算值更准确的样本公司的18%和13%，分别。剩下的21%的公司只使用报告的当前收益和股本账面价值进行更准确的估值。因此，不同的模型适用于不同的企业。给定模型最佳工作的条件与事前增长指标有关，如当前账面市值比、收益与价格比、预测期内预期剩余收益的现值、预期收益的增长率和公司规模，但与行业成员资格无关。在所有的模型中，平均而言，估计的价格是向下偏置和不准确的，它们最多解释了市场价格变化的70%。我们研究了盈利预测的质量和GAAP盈利的质量，这是导致有偏见和不准确结果的两个可能原因。我们的测试提供了与这两个原因一致的证据。因此，我们的结论是，模型性能差是由于信息丢失的预测和保守的会计做法。
We evaluate the extent to which unbiased and accurate estimates of equity value can be derived from three multiperiod accounting-based valuation models using consensus analysts' earnings forecasts over a four-year horizon. The models are (1) the earnings capitalization model, (2) the residual income model without a terminal value, and (3) the residual income model with a terminal value that assumes residual income will grow beyond the horizon at a constant rate determined from the expected residual income growth rate over the forecast horizon. Our analysis is based on valuation errors that are calculated by comparing estimated prices to actual prices. We find that, on average, analysts' earnings forecasts convey information about value beyond that conveyed by current earnings, book values, and dividends. Each of the models that we used has valuation errors that decline monotonically as the horizon increases, implying that earnings forecasts at each horizon convey new value relevant information. We cannot find a clear advantage to using firm specific growth rates instead of a constant rate of 4 percent across all sample firms. In addition, only 17 percent of the imputed growth rates could be used in terminal value calculations. The residual income model with a terminal value shows the best performance on average, but it values more accurately only 48 percent of our sample firms. The earnings capitalization model and the residual income model without a terminal calculation value more accurately 18 percent and 13 percent of the sample firms, respectively. The remaining 21 percent of firms are more accurately valued using only reported current earnings and book values of equity. Thus, different models are appropriate for different firms. The conditions under which given models work best relate to ex-ante growth indicators such as the current book-to-market, earnings-to-price, the present value of the expected residual income over the forecast horizon, the growth rate in expected earnings, and firm size, but not to industry membership. In all models estimated prices are, on average, downward biased and inaccurate and they explain at best 70 percent of the variation in market prices. We examined the quality of the earnings forecasts and the quality of the GAAP earnings as two possible reasons for the biased and inaccurate results. Our tests provide evidence consistent with both of these reasons. Thus, we conclude that the poor model performance is due to information missing from the forecasts and to the practice of conservative accounting.