Market Expectations in the Cross‐Section of Present Values
研究发现，从账面市值比横截面中提取的单一因子能显著预测美国股市整体回报，样本外年度R²达13%，并同样适用于价值、规模、动量等投资组合。
ABSTRACT Returns and cash flow growth for the aggregate U.S. stock market are highly and robustly predictable. Using a single factor extracted from the cross‐section of book‐to‐market ratios, we find an out‐of‐sample return forecasting R 2 of 13% at the annual frequency (0.9% monthly). We document similar out‐of‐sample predictability for returns on value, size, momentum, and industry portfolios. We present a model linking aggregate market expectations to disaggregated valuation ratios in a latent factor system. Spreads in value portfolios’ exposures to economic shocks are key to identifying predictability and are consistent with duration‐based theories of the value premium.