What is the Intrinsic Value of the Dow?
用协整模型分析道琼斯30只股票价格与内在价值的关系，发现基于剩余收益估值模型的V/P比率比传统市场倍数有更强的预测能力，且利率和分析师预测是关键因素。
We model the time‐series relation between price and intrinsic value as a cointegrated system, so that price and value are long‐term convergent. In this framework, we compare the performance of alternative estimates of intrinsic value for the Dow 30 stocks. During 1963–1996, traditional market multiples (e.g., B/P, E/P, and D/P ratios) have little predictive power. However, a V/P ratio, where V is based on a residual income valuation model, has statistically reliable predictive power. Further analysis shows time‐varying interest rates and analyst forecasts are important to the success of V. Alternative forecast horizons and risk premia are less important.