新的价值战略

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-11-15 DOI:10.1093/rapstu/raad014

Baolian Wang

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引用次数: 0

摘要

传统的价值衡量指标在过去30年表现不佳。我们使用一种新的衡量标准——基于现金的经营盈利能力与价格的比率(COP/P)来重新评估价值策略，并找到一个零投资组合，即买入COP/P最高的股票，卖空COP/P最低的股票，在价值加权基础上获得0.78%的月回报率，在等加权基础上获得1.04%的月回报率。COP/P效应甚至适用于大盘股，甚至在账面市值比无法预测收益的1990年后也存在。COP/P度量包含许多广泛使用的价值度量和保守减去激进的投资因子。

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A New Value Strategy

Traditional value measures performed poorly over the past three decades. We reevaluate the value strategy using a new measure—the ratio of cash-based operating profitability to price (COP/P)—and find a zero-investment portfolio that buys the highest-COP/P stocks and shorts the lowest-COP/P stocks earns monthly returns of 0.78% on a value-weighted basis and 1.04% on an equal-weighted basis. The COP/P effect holds even for large-capitalization stocks and exists even in the post-1990 period, when book-to-market does not predict returns. The COP/P measure subsumes many widely used value measures and the conservative-minus-aggressive investment factor.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.