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Market expectations in the coss-section of present values
Returns and cash flow growth for the aggregate U.S. stock market are highly and robustly predictable. Using a single factor extracted from the cross-section of book-to-market ratios, we find an out-of-sample return forecasting R2 of 13% at the annual frequency (0.9% monthly). We document similar out-of-sample predictability for returns on value, size, momentum, and industry portfolios. We present a model linking aggregate market expectations to disaggregated valuation ratios in a latent factor system. Spreads in value portfolios? exposures to economic shocks are key to identifying predictability and are consistent with duration-based theories of the value premium..Printed Journal, baca ditempat
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| JOF6805 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : Wiley Periodicals |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |