Accounting valuation, market expectation, and cross-sectional stock returns
检验基于分析师预测的估值模型能否预测横截面股票收益，发现V/P比率能有效预测长期收益，且不受市场贝塔、账面市值比或市值影响。
This study examines the usefulness of an analyst-based valuation model in predicting cross-sectional stock returns. We estimate firms' fundamental values (V) using I/B/E/S consensus forecasts and a residual income model. We find that V is highly correlated with contemporaneous stock price, and that the V/P ratio is a good predictor of long-term cross-sectional returns. This effect is not explained by a firm's market beta, B/P ratio, or total market capitalization. In addition, we find errors in consensus analyst earnings forecasts are predictable, and that the predictive power of V/P can be improved by incorporating these errors.