Extracting Forward-Looking Information from Security Prices: A New Approach
Extracting Forward-Looking Information from Security Prices: A New Approach
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从证券价格中提取前瞻性信息：一种新方法
DOI：
10.2308/accr.2008.83.4.1101
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发表时间：
2008
期刊：
影响因子：
--
通讯作者：
Chih
中科院分区：
文献类型：
--
作者：
Dan Weiss;P. Naik;Chih
摘要：本文提出了一个新的指标，从证券价格中提取前瞻性信息，推断市场参与者对未来收益的预期。该指数被称为市场适应收益（MAE），利用股票收益和基本会计信号来估计市场对公司未来收益的预期。MAE在预测未来收益方面优于时间序列模型（例如，随机漫步）。结果证明了MAE对没有分析师追随的公司的有用性。
ABSTRACT: This paper proposes a new index to extract forward-looking information from security prices and infer market participants’ expectations of future earnings. The index, called market-adapted earnings (MAE), utilizes stock returns and fundamental accounting signals to estimate market expectations of future earnings at the firm level. MAE outperforms time-series models (e.g., random-walk) in predicting future earnings. Results demonstrate the usefulness of MAE for firms that have no analyst following.