Earnings, retained earnings, and book-to -market in the cross section of expected returns

被引：44

作者：

Ball, Ray ^{[1
]}

Gerakos, Joseph ^{[2
]}

Linnainmaa, Juhani T. ^{[3
,4
]}

Nikolaev, Valeri ^{[1
]}

机构：

[1] Univ Chicago, Booth Sch Business, 5807 South Woodlawn Ave, Chicago, IL 60637 USA

[2] Dartmouth Coll, Tuck Sch Business, 100 Tuck Hall, Hanover, NH 03775 USA

[3] Univ Southern Calif, Marshall Sch Business, 3670 Trousdale Pkwy, Los Angeles, CA 90089 USA

[4] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2020年 / 135卷 / 01期

关键词：

Book-to-market; Contributed capital; Earnings yield; Mispricing Retained earnings; Value premium; AVERAGE RETURNS; DELISTING BIAS; STOCK-PRICES; CASH FLOWS; ANOMALIES; SIZE; INFORMATION; RATIO; RISK;

D O I：

10.1016/j.jfineco.2019.05.013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Book value of equity consists of two economically different components: retained earnings and contributed capital. We predict that book-to-market strategies work because the retained earnings component of the book value of equity includes the accumulation and, hence, the averaging of past earnings. Retained earnings-to-market predicts the cross section of average returns in U.S. and international data and subsumes book-to-market. Contributed capital-to-market has no predictive power. We show that retained earnings-to-market, and, by extension, book-to-market, predicts returns because it is a good proxy for underlying earnings yield (Ball, 1978; Berk, 1995) and not because book value represents intrinsic value. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：231 / 254

页数：24

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