Book-to-market ratios as predictors of market returns

被引:222
作者
Pontiff, J [1 ]
Schall, LD [1 ]
机构
[1] Univ Washington, Sch Business Adm, Seattle, WA 98195 USA
关键词
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.
引用
收藏
页码:141 / 160
页数:20
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