Predictable EPS growth and the performance of value investing
研究发现，使用改进的预期每股收益增长率指标可以预测未来两年以上的增长，且这种可预测性反映在估值比率中，但结合估值比率预测股票收益的效果仍然较弱。
Abstract Previous research finds that EPS growth rates are difficult to predict and reasons that much of the observed cross-sectional variation in valuation ratios is due to variation in implied future stock returns. Yet the observed cross-sectional relation between valuation ratios and realized future stock returns is weak. We revisit these findings using a refined measure of expected EPS growth rates and document robust evidence of predictability in EPS growth rates. Moreover, we find that this predictable growth extends beyond two years into the future and is strongly reflected in observed valuation ratios. We show that combining valuation ratios with our refined measure of expected EPS growth rates improves forecasts of stock returns, though return predictability remains weak. Thus, we conclude that most of the variation in valuation ratios is driven by predictable EPS growth.