Dissecting value-growth strategies conditioned on expectation errors

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2023-12-02 DOI:10.1016/j.qref.2023.11.009

HALIL I. MEMIS, ULRICH WESSELS

引用次数: 0

Abstract

We examine the previously documented effect between a firm’s FSCORE and book-to-market ratio proposed by Piotroski and So (2012) and analyze the authors’ expectation errors hypothesis from a present value perspective. We find a strong value premium which is concentrated among firms where book-to-market implied expectations are incongruent with underlying fundamental strength. Using the decomposition of variation in book-to-market ratios motivated by Cohen et al. (2003), we show that the observed effect between a firm’s FSCORE and book-to-market ratio is attributable to mispricing as the variation is mostly due to variation in expected returns rather than variation in expected profitability.

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基于期望误差的价值增长策略剖析

我们研究了Piotroski和So(2012)提出的公司FSCORE与账面市值比之间的影响，并从现值角度分析了他们的期望误差假设。我们发现一个强大的价值溢价，这集中在那些账面市值隐含预期与潜在的基本面力量不一致的公司。利用Cohen等人(2003)对账面市值比变化的分解，我们发现，观察到的企业FSCORE和账面市值比之间的影响可归因于错误定价，因为这种变化主要是由于预期回报的变化，而不是预期盈利能力的变化。

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

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

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