Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better?
将财务比率分解为周期成分和随机趋势成分，发现两者都能预测超额收益和基本面，但周期成分预测未来收益上升，随机趋势成分预测长期收益下降，这解释了为何未分解的比率短期预测力弱而长期较强。
Abstract We investigate the prediction of excess returns and fundamentals by financial ratios, which include dividend‐price ratios, earnings‐price ratios, and book‐to‐market ratios, by decomposing financial ratios into a cyclical component and a stochastic trend component. We find both components predict excess returns and fundamentals. Cyclical components predict increases in future stock returns, while stochastic trend components predict declines in future stock returns in long horizons. This helps explain previous findings that financial ratios in the absence of decomposition find weak predictive power in short horizons and some predictive power in long horizons. We also find both components predict fundamentals.