سود، سود اندوخته شده و نسبت ارزش دفتری به ارزش بازار
ترجمه نشده

سود، سود اندوخته شده و نسبت ارزش دفتری به ارزش بازار

عنوان فارسی مقاله: سود، سود انباشه شده و نسبت ارزش دفتری به ارزش بازار در بازده های مقطعی مورد انتظار
عنوان انگلیسی مقاله: Earnings, retained earnings, and book-to-market in the cross section of expected returns
مجله/کنفرانس: مجله اقتصاد مالی – Journal of Financial Economics
رشته های تحصیلی مرتبط: حسابداری، مدیریت، اقتصاد
گرایش های تحصیلی مرتبط: حسابداری مالی، مدیریت مالی، مالی، اقتصاد مالی
کلمات کلیدی فارسی: نسبت ارزش دفتری به ارزش بازار، سرمایه مشارکتی، دستاورد سود، قیمت گذاری نادرست، سود انباشه، صرف ارزش
کلمات کلیدی انگلیسی: Book-to-market, Contributed capital, Earnings yield, Mispricing, Retained earnings, Value premium
نوع نگارش مقاله: مقاله پژوهشی (Research Article)
نمایه: Scopus – Master Journals List – JCR
شناسه دیجیتال (DOI): https://doi.org/10.1016/j.jfineco.2019.05.013
دانشگاه: University of Chicago, USA
ناشر: الزویر - Elsevier
نوع ارائه مقاله: ژورنال
نوع مقاله: ISI
سال انتشار مقاله: 2020
ایمپکت فاکتور: 5.037 در سال 2019
شاخص H_index: 223 در سال 2020
شاخص SJR: 13.636 در سال 2019
شناسه ISSN: 0304-405X
شاخص Quartile (چارک): Q1 در سال 2019
فرمت مقاله انگلیسی: PDF
تعداد صفحات مقاله انگلیسی: 24
وضعیت ترجمه: ترجمه نشده است
قیمت مقاله انگلیسی: رایگان
آیا این مقاله بیس است: خیر
آیا این مقاله مدل مفهومی دارد: ندارد
آیا این مقاله پرسشنامه دارد: ندارد
آیا این مقاله متغیر دارد: دارد
کد محصول: E14192
رفرنس: دارای رفرنس در داخل متن و انتهای مقاله
نمونه ترجمه فارسی مقاله

Abstract


1- Introduction


2- Book value of equity, retained earnings, and contributed capital


3- Data


4- The cross section of returns


5- Portfolio sorts


6- Retained earnings and contributed capital factors


7- Evidence that earnings yield is the source of the retained earnings and value premiums


8- Predicting average returns over increasing horizons


9- Results for different samples


10- Functional fixation


11- Conclusion


Appendix A. Share issuances


Appendix B. Share repurchases


Appendix C. World excluding U.S. data


References

نمونه متن انگلیسی مقاله

Abstract


Book value of equity consists of two economically different components: retained earnings and contributed capital. We predict that book-to-market strategies work because the retained earnings component of the book value of equity includes the accumulation and, hence, the averaging of past earnings. Retained earnings-to-market predicts the cross section of average returns in U.S. and international data and subsumes book-to-market. Contributed capital-to-market has no predictive power. We show that retained earnings-tomarket, and, by extension, book-to-market, predicts returns because it is a good proxy for underlying earnings yield (Ball, 1978; Berk, 1995) and not because book value represents intrinsic value.


Introduction


The book-to-market ratio has long been used as an indicator of value. We predict that book-to-market strategies work because the book value of equity includes the accumulation and, hence, the averaging of past earnings. Our thesis is that this averaging attenuates timing issues in accounting measurement and transitory real factors that affect individual-year earnings, resulting in a better proxy for the firm’s underlying earnings yield (Ball, 1978; Berk, 1995). Consistent with our thesis, we show that book-to-market predicts returns only because it contains retained earnings-to-market and retained earnings contain past earnings. This result confirms the conjecture of Graham and Dodd (1934) that value investors should not use book value as a measure of intrinsic value. Instead, they should develop measures of a firm’s average earnings power by removing transitory real effects such as current business conditions, and transitory accounting effects such as one-time items and manager manipulation.


We start with the observation that the book value of equity consists of two main parts: contributed capital and retained earnings. These parts are of approximately equal size but represent different economic constructs. The contributed capital component records the net capital transactions between the firm and its shareholders and, hence, comprises accumulated past equity issuances less past share repurchases. The fact that investors contributed capital to a firm does not necessarily reveal information about the firm’s riskiness. It merely indicates that investors were prepared to bear such risk. Recent net issuances could, however, lead to a negative relation between contributed capital and stock returns.1 We therefore predict either no relation or a weak negative relation between contributed capital and the cross section of expected returns.

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