基于期望误差的价值增长策略剖析

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

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引用次数: 0

摘要

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。

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Dissecting value-growth strategies conditioned on expectation errors

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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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.