Expectations and the Cross-Section of Stock Returns
Expectations and the Cross-Section of Stock Returns
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DOI：
10.1111/j.1540-6261.1996.tb05223.x
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发表时间：
1996-12
影响因子：
8
通讯作者：
Rafael la Porta
中科院分区：
文献类型：
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作者：
Rafael la Porta
以前的研究表明，相对于账面价值、现金流、收益或股息而言，价格较低的股票（即价值股）获得高回报。价值股可能会获得高回报，因为它们风险更大。或者，预期中的系统性错误可以解释价值型股票的高回报。我测试的系统性误差的存在，使用调查数据的预测，股票市场分析师。我表明，投资策略，寻求利用错误的分析师的预测赚取上级回报，因为预期的未来增长的盈利过于极端。
Previous research has shown that stocks with low prices relative to book value, cash flow, earnings, or dividends (that is, value stocks) earn high returns. Value stocks may earn high returns because they are more risky. Alternatively, systematic errors in expectations may explain the high returns earned by value stocks. I test for the existence of systematic errors using survey data on forecasts by stock market analysts. I show that investment strategies that seek to exploit errors in analysts' forecasts earn superior returns because expectations about future growth in earnings are too extreme.