Resumo:
Under fairly general assumptions, expected stock returns are a linear
combination of two firm fundamentals―book-to-market ratio and return on
equity. This parsimonious relation is pervasive, producing expected
return proxies (ERP) that predict the cross section of out-of-sample
returns in 26 of 29 international equity markets. The average slope
coefficient on the ERP is a highly significant 1.05. In contrast,
factor-model-based proxies fail to exhibit predictive power worldwide.
Integrating the model with a dynamic information structure, we show
analytically, and verify empirically, that the importance of return on
equity in forecasting future stock returns depends on the quality of the
accounting information. This extension also reconciles our model with
alternative characteristic-based forecasters. These findings suggest
that a tractable accounting-based valuation model provides a unifying
framework for obtaining reliable proxies of expected returns worldwide.
Chattopadhyay, Akash, Matthew R. Lyle, and Charles C.Y. Wang. "Accounting Data, Market Values, and the Cross Section of Expected Returns Worldwide." Harvard Business School Working Paper, No. 15-092, June 2015.
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