Scale or Yield? A Present-Value Identity

被引：3

作者：

Cho, Thummim ^{[1
]}

Kremens, Lukas ^{[2
]}

Lee, Dongryeol ^{[3
]}

Polk, Christopher

Goldstein, Itay ^{[4
]}

机构：

[1] Korea Univ, Business Sch, Seoul, South Korea

[2] Univ Washington, Seattle, WA 98195 USA

[3] UCLA Anderson, Los Angeles, CA USA

[4] London Sch Econ, London, England

来源：

REVIEW OF FINANCIAL STUDIES | 2024年 / 37卷 / 03期

关键词：

G11; G12; FIRM CHARACTERISTICS; SHARE ISSUANCE; DELISTING BIAS; INVESTMENT; DIVIDENDS; GROWTH; PROFITABILITY; PROPENSITY; DURATION; EARNINGS;

D O I：

10.1093/rfs/hhad068

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a loglinear present-value identity in which investment ("scale"), profitability ("yield"), and discount rates determine a firm's market-to-book ratio. Our identity reconciles existing influential market-to-book decompositions and facilitates novel insights from three empirical applications: (1) Both investment and profitability are important contributors to the value spread and stock return news variance. (2) Any cross-sectional return predictability has a mirror image in cash-flow fundamentals, providing asset pricing theories with additional moments to match. (3) The investment spread significantly improves the predictability of time-series variation in the value premium and justifies the poor performance of value in recent years.Received January 30, 2022; editorial decision June 6, 2023 by Editor Itay Goldstein. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online

引用

页码：950 / 988

页数：39

共 48 条

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