基于资本的隐含成本投资策略——来自国际股票市场的证据

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2013-04-01 DOI:10.2139/ssrn.966248

Florian Esterer, David Schröder

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引用次数: 6

摘要

投资者可以通过实施基于公开股票分析师预测的交易策略来获得超额回报。本文通过隐含资本成本(隐含资本成本)获取了分析师提供的信息，隐含资本成本是将公司股价与分析师收益预测的现值等同起来的内部收益率。我们发现，具有高ICC的美国股票平均每年比低ICC的股票表现好6.0%。当用标准定价模型代替风险敞口来控制投资回报时，这种价差是显著的。对全球最大股票市场的进一步分析证实了这些结果。版权所有柏林海德堡斯普林格出版社

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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Implied Cost of Capital Based Investment Strategies - Evidence from International Stock Markets

Investors can generate excess returns by implementing trading strategies based on publicly available equity analyst forecasts. This paper captures the information provided by analysts by the implied cost of capital (ICC), the internal rate of return that equates a firm’s share price to the present value of analysts’ earnings forecasts. We find that U.S. stocks with a high ICC outperform low ICC stocks on average by 6.0 % per year. This spread is significant when controlling the investment returns for their risk exposure as proxied by standard pricing models. Further analysis across the world’s largest equity markets validates these results. Copyright Springer-Verlag Berlin Heidelberg 2014

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.