Future Realized Return, Firm-specific Risk and the Implied Expected Return
Future Realized Return, Firm-specific Risk and the Implied Expected Return
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未来实现回报、公司特定风险和隐含预期回报
作者：
Wang P
在本文中，我提出了一种新的方法来获得一个公司特定的预期收益的措施。它建立在Clubb（2013）和Ashton and Wang（2013）最近开发的基于会计的估值模型基础上。该指标与常用的财务比率有着内在的联系，包括账面市值比、（远期）收益率、股息与价格比以及增长和过去回报率。实证结果表明，它与未来已实现的股票收益显著正相关，也与常用的风险特征在理论上可预测的方式显着相关。这些结果可能会让从事资本配置决策的从业者和管理者以及需要公司贴现率和预期回报代理的学者感兴趣。
In this paper, I propose a novel approach to derive a firm‐specific measure of expected return. It builds on recent accounting‐based valuation models developed by Clubb (2013) and Ashton and Wang (2013). The measure is intrinsically linked to commonly used financial ratios, including book‐to‐market, (forward) earnings yield, and dividend‐to‐price, as well as growth and past returns. The empirical evidence shows that it is significantly positively associated with future realized stock returns and also significantly correlated with commonly used risk characteristics in a theoretically predictable manner. The results are likely to be of interest to practitioners and managers in making capital allocation decisions and to academics in need of proxies for firms’ discount rates and expected returns.