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*Correspondingauthor.Tel.:(607)255-6255;fax:(607)254-4590;e-mail:CL86@cornell.edu.1ExamplesofOhlsonÕsworkincludeOhlson(1990,1991,1995)andFelthamandOhlson(1995).ExamplesofempiricalresearchincludeBernard(1994),FairÞeld(1994),OuandPenman(1994),PenmanandSougiannas(1996),AbarbanellandBernard(1995),andFrankelandLee(1998),Leeetal.(1998),andDechowetal.(1997).JournalofAccountingandEconomics25(1998)283Ð319Accountingvaluation,marketexpectation,andcross-sectionalstockreturnsRichardFrankel!,CharlesM.C.Lee,*!SchoolofBusinessAdministration,UniversityofMichigan,AnnArbor,MI48109-1234,USAJohnsonGraduateSchoolofManagement,CornellUniversity,Ithaca,NY14853-4201,USAReceived1May1997;accepted7August1998AbstractThisstudyexaminestheusefulnessofananalyst-basedvaluationmodelinpredictingcross-sectionalstockreturns.WeestimateÞrmsÕfundamentalvalues(»)usingI/B/E/Sconsensusforecastsandaresidualincomemodel.WeÞndthat»ishighlycorrelatedwithcontemporaneousstockprice,andthatthe»/Pratioisagoodpredictoroflong-termcross-sectionalreturns.Thise¤ectisnotexplainedbyaÞrmÕsmarketbeta,B/Pratio,ortotalmarketcapitalization.Inaddition,weÞnderrorsinconsensusanalystearningsforecastsarepredictable,andthatthepredictivepowerof»/Pcanbeimprovedbyincorporatingtheseerrors.(1998ElsevierScienceB.V.Allrightsreserved.JELclassiÞcation:D4;G12;G14;M4Keywords:Capitalmarkets;Marketexpectations;Markete¦ciency;Valuation;Analystforecasts1.IntroductionRecentstudiesbyOhlsononresidualincomevaluationhaveledempiricalresearcherstoreexaminetherelationbetweenaccountingnumbersandÞrmvalue.1Inthisstudy,weoperationalizetheresidualincomemodelusinganalyst0165-4101/98/$Ðseefrontmatter(1998ElsevierScienceB.V.Allrightsreserved.PII:S0165-4101(98)00026-32Severalstudiesshowanalystforecasterrorsdi¤erforÞrmswithcertaincharacteristics,sugges-tingarelationbetweenanalystforecasterrorsandvariousmarketpricinganomalies(e.g.,DechowandSloan,1997;DanielandMande,1994;LaPorta,1996;LaPortaetal.,1997).Otherstudiesshowearningsforecastsandexamineitsusefulnessinpredictingcross-sectionalstockreturnsintheU.S.SpeciÞcally,weuseI/B/E/Sconsensusearningsforecaststoproxyformarketexpectationsoffutureearnings.WethenusetheresultingestimateofÞrmfundamentalvalue(»&)toinvestigateissuesrelatedtomarkete¦ciencyandthepredictabilityofcross-sectionalstockreturns.WeÞndthat»&estimatesbasedonI/B/E/Sconsensusforecastsarehighlycorrelatedwithcontemporaneousstockprices.Inrecentyears,»&explainsmorethan70%ofthecross-sectionalvariationinstockprices.Moreover,thevalue-to-priceratio(»&/P)isagoodpredictorofcross-sectionalreturns,particularlyoverlongertimehorizons.In12-monthhorizons,the»&/Pratiopredictscross-sectionalreturnsaswellasthebook-to-marketratio(B/P).However,overtwoorthreeyearperiods,buy-and-holdreturnsfrom»&/PstrategiesaremorethantwicethosefromB/Pstrategies.SpeciÞcally,weÞndthathigher»&/PÞrmstendtoearnhigherlong-termreturns.Thisresultisnotduetodi¤erencesinmarketbetas,Þrmsize,ortheB/Pratio.Becauseofitsimportanceinestimating»&,wealsoinvestigatethereliabilityoflong-termI/B/E/Sconsensusearningsforecasts.WeÞndthatcross-sectionalerrorsinthethree-year-aheadconsensusforecastarepredictable.SpeciÞcally,weÞndsomeevidencethatanalyststendtobemoreoverly-optimisticinÞrmswithhigherpastsalesgrowth(SG)andhigherP/Bratios.Inaddition,weÞndstrongerevidenceofover-optimisminÞrmswithhigherforecastedearningsgrowth(¸tg)andhigherforecastedROEsrelativetocurrentROEs(OP).Combiningthesevariablesinapredictionmodel,wedevelopanestimateofthepredictionerrorinlong-termforecasts(PErr),andshowthisestimatehaspredictivepowerforcross-sectionalreturns.Finally,weshowthepredictivepowerofPErrisincrementaltoa»&/Pstrategy.Duringoursampleperiod(1979Ð1991),azero-cashinvestmentstrategyinvolvingÞrmsthataresimultaneouslyinthetopquintileof»&/PandthebottomquintileofPErryieldscumulativebuy-and-holdreturnsofmorethan45%over36months.Thethree-yearbuy-and-holdstrategyresultsinpositivereturnsinbothupanddownmarkets.Thise¤ectisnotexplainedbymarketbeta,Þrmsize,ortheB/Pratio.Ourresultscontributetotheemergingliteratureontheresidualincomemodelinseveralways.First,ouranalyst-basedapproachcomplementsPenmanandSougiannas(1998),whichusesexpostreportedearnings.Second,weprovideevidenceonthereliabilityofI/B/E/Sconsensusforecastsforvaluation,aswellasamethodforcorrectingpredictableforecasterrors.Toourknowledge,thisistheÞrststudytodevelopapredictionmodelforlong-runanalystforecasterrors,andtotradeproÞtablyonthatprediction.2Finally,weshowthatreturns284R.Frankel,C.M.C.Lee/JournalofAccountingandEconomics25(1998)283±319analystsmaynotuseallavailableinformationwhenformulatingtheirforecasts(e.g.,Abarbanell,1991;AbarbanellandBernard,1992;Stober,1992).However,noneofthesestudiesdevelopapredictionmodelforanalysterrors.Brownetal.(1995)dodevelopapredictionmodelforanalysterrors,buttheirinvestmenthorizonisonlyone-quarter-aheadandthedetailsoftheirmodelareproprietary.3ThetermEdwardsÐBellÐOhlson,orEBO,wascoinedbyBernard(1994).Theoreticaldevelop-mentofthisvaluationmethodisfoundinOhlson(1990,1995),Lehman(1993),andFelthamandOhlson(1995).Ear
本文标题:Accounting-valuation--market-expectation--and-cros
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