{"title":"股票溢价的真实收益模型的持续预测有效性","authors":"A. Murphy, Zeina Alsalman","doi":"10.3905/joi.2023.1.268","DOIUrl":null,"url":null,"abstract":"This article empirically demonstrates the continued forecasting effectiveness of a simple theory modeling expected stock returns as the sum of the earnings yield on the S&P 500 (measured as the highest past annual earnings on the index divided by the current index value) and a market-based forecast of the inflation rate. Besides having retained its significant one-to-one relationship with subsequent excess annual stock returns, this model’s estimate of the equity premium is discovered to have a correlation of 0.85 with S&P 500 excess returns over subsequent five-year intervals ever since market data for the estimator became available in 1997.","PeriodicalId":45504,"journal":{"name":"Journal of Investing","volume":"32 1","pages":"112 - 119"},"PeriodicalIF":0.6000,"publicationDate":"2023-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"The Continued Forecasting Effectiveness of a Real Earnings Model of the Equity Premium\",\"authors\":\"A. Murphy, Zeina Alsalman\",\"doi\":\"10.3905/joi.2023.1.268\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article empirically demonstrates the continued forecasting effectiveness of a simple theory modeling expected stock returns as the sum of the earnings yield on the S&P 500 (measured as the highest past annual earnings on the index divided by the current index value) and a market-based forecast of the inflation rate. Besides having retained its significant one-to-one relationship with subsequent excess annual stock returns, this model’s estimate of the equity premium is discovered to have a correlation of 0.85 with S&P 500 excess returns over subsequent five-year intervals ever since market data for the estimator became available in 1997.\",\"PeriodicalId\":45504,\"journal\":{\"name\":\"Journal of Investing\",\"volume\":\"32 1\",\"pages\":\"112 - 119\"},\"PeriodicalIF\":0.6000,\"publicationDate\":\"2023-03-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Investing\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/joi.2023.1.268\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Investing","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/joi.2023.1.268","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The Continued Forecasting Effectiveness of a Real Earnings Model of the Equity Premium
This article empirically demonstrates the continued forecasting effectiveness of a simple theory modeling expected stock returns as the sum of the earnings yield on the S&P 500 (measured as the highest past annual earnings on the index divided by the current index value) and a market-based forecast of the inflation rate. Besides having retained its significant one-to-one relationship with subsequent excess annual stock returns, this model’s estimate of the equity premium is discovered to have a correlation of 0.85 with S&P 500 excess returns over subsequent five-year intervals ever since market data for the estimator became available in 1997.