Scale or Yield? A Present-Value Identity

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-08-31 DOI:10.1093/rfs/hhad068

Thummim Cho, Lukas Kremens, Dongryeol Lee, Christopher Polk

引用次数: 0

Abstract

Abstract 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 Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online

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规模还是产量?现在价值同一性

我们提出了一个对数现值恒等式，其中投资(“规模”)、盈利能力(“收益率”)和贴现率决定了公司的市净率。我们的身份调和了现有的有影响力的市净率分解，并促进了三个实证应用的新见解:(1)投资和盈利能力都是价值价差和股票回报新闻方差的重要贡献者。(2)任何横截面收益可预测性在现金流基本面中都有镜像，为资产定价理论提供了额外的时刻来匹配。(3)投资价差显著提高了价值溢价时间序列变化的可预测性，证明了近年来价值表现不佳的合理性。2022年1月30日收稿;编辑决定，2023年6月6日，编辑Itay Goldstein。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.