Profitability, investment and average returns

被引：424

作者：

Fama, Eugene F.

French, Kenneth R. ^{[1
]}

机构：

[1] Dartmouth Coll, Amos Tuck Sch Business Adm, Hanover, NH 03755 USA

[2] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2006年 / 82卷 / 03期

关键词：

average returns; profitability; investment; book-to-market equity;

D O I：

10.1016/j.jfineco.2005.09.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Valuation theory says that expected stock returns are related to three variables: the book-to-market equity ratio (B-t/M-t), expected profitability, and expected investment. Given B-t/M-t and expected profitability, higher expected rates of investment imply lower expected returns. But controlling for the other two variables, more profitable firms have higher expected returns, as do firms with higher B-t/M-t. These predictions are confirmed in our tests. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：491 / 518

页数：28