ABSTRACT

We examine whether components of the earnings-to-price (EP) ratio can be used to extract incremental information to better estimate future returns in the cross-section of country-industry indexes. We demonstrate that the EP components, such as lagged EP, changes in earnings, short-term momentum and long-term reversal in prices increase the accuracy of return forecasts. The EP decomposition matters in developed markets but is pointless in emerging countries. The results are robust to modifications in the methodology, sub-period analyses, the use of an alternative sample and remain unchanged after controlling for net share issuance, size, and fixed country and time effects.

摘要

我们研究了市盈率 ( EP ) 比率的组成部分是否可用于提取增量信息，以更好地估计国家-行业指数横截面的未来回报。我们证明了EP组成部分，例如滞后EP、收益变化、短期动力和价格的长期逆转，提高了回报预测的准确性。该EP分解事项在发达市场，但在新兴国家毫无意义。结果对方法论的修改、子期间分析、替代样本的使用是稳健的，并且在控制了净股票发行、规模以及固定国家和时间影响后保持不变。