竞争优势的持续时间是否驱动股票市场的长期回报?

Juan A. Forsyth, Samuel Mongrut
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引用次数: 0

摘要

摘要本文的目的是建立一个新的指标来估计股票的总长期预期收益。目前还没有一种广泛使用的方法来直接模拟股票市场的总预期收益。目前大多数方法采用间接方法。我们开发了一个新的指标,它不需要计量经济学模型来产生预期回报,并提供了对长期预期回报的估计。所提出的方法可用于开发类似于债券到期收益率的股票市场未来回报指标。我们使用了一个有限的一阶段不变增长模型——剩余收益模型(RIM)的一种变体——其主要输入是公司竞争优势的持续时间和10年平均周期调整的实际投资资本回报率(ROIC)。考虑到公司竞争优势的持续时间,我们使用了一种新的方法来开发一个总体水平上股票市场长期预期回报的指标。我们的研究结果表明,当前股票价格的估计隐含股本回报率(IRE)与该指数10年实际总回报率的实现回报率之间存在很强的相关性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Does duration of competitive advantage drive long-term returns in the stock market?
ABSTRACT The purpose of this article was to develop a new indicator to estimate the aggregate long-term expected return on stocks. There is not a widely used method to model directly the aggregated expected return of the stock market. Most current methods use indirect approaches. We developed a new indicator that does not need an econometric model to generate expected returns and provides an estimate of the long-term expected returns. The proposed methodology can be used to develop an indicator of future returns of the stock market similar to the yield-to-maturity used for bonds. We used a restricted one-stage constant-growth model - a variant of the residual income model (RIM) - whose main input is the duration of companies’ competitive advantage and cyclical adjusted real return on invested capital (ROIC) with a 10-year average. We used a new methodology to develop an indicator of the long-term expected return on the equity market at the aggregate level, considering the duration of the competitive advantage of companies. Our results showed a strong correlation between the estimated implied return on equity (IRE) of current stock prices and realized returns of the 10-year real total return of the index.
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