book-to-market;
book value;
cash flow;
forecast;
market return;
prediction;
predictor;
Dow Jones Industrial Average;
Standard and Poors;
D O I:
10.1016/S0304-405X(98)00020-8
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
The bask-to-market ratio of the Dow Jones Industrial Average predicts market returns and small firm excess returns over the period 1926-1994. The DJIA book-to-market ratio contains information about future returns that is not captured by other variables such as interest yield spreads and dividend yields. The DJIA book-to-market ratio's predictive ability is specific to the pre-1960 sample. In contrast, the S&P book-to-market ratio provides some predictive ability in the post-1960 period, although this relation is dramatically weaker than the Dow Jones pre-1960 findings. The predictive ability of book-to-market ratios appears to stem from the relation between book value and future earnings. (C) 1998 Elsevier Science S.A. All rights reserved.