A Structural Accounting Framework for Estimating the Expected Rate of Return on Equity
提出仅用已公布的会计结果估计权益预期收益率的方法，通过非线性约束迭代求解，并分解出预期资本利得、收益和账面价值变化，发现预期收益率与实际回报在扩张和衰退期存在差异。
This paper shows how the expected rate of return (ERR) on equity may be estimated using only published accounting results, based on the information dynamics of reported earnings. As accounting‐based valuation models conditional upon financial statement articulation lead to a rank deficient system of estimating equations, the paper introduces a nonlinear constraint on the articulation that allows the information system simultaneously to produce an estimate for the ERR by iteration, together with predictions for the key clean surplus forecasts of net earnings, net dividend, and the book value of equity. Further decomposition produces estimates of expected capital gain, expected earnings, and the expected change in equity book value, and by rearrangement, the expected change in unrecorded goodwill. The clean surplus relation is maintained in the forecast variables. Exploratory data methods are used to examine the nonlinear relationship between components of the accounting‐based ERR and realized stock returns. Findings show that realized returns are higher (lower) than estimated ERR in expansionary (recessionary) periods, with evidence of a stronger returns impact in recessionary periods. For the large majority of firms, realized returns revert to the estimated ERR, and the time‐varying accounting components are strongly related to future realized stock returns, consistent with time variation in the ERR around a long‐run average. Predicted earnings and dividends provide useful additional information on short‐run variations in the ERR.