Intrinsic Value: A Solution to the Declining Performance of Value Strategies
提出用内在价值替代传统估值指标预测股票收益，发现基于内在价值与市值比的策略在1999至2023年间月均超额收益56个基点，而传统账面市值比等指标失效。
The paper proposes to use intrinsic value as an alternative measure of fundamentals in predicting stock returns. We construct intrinsic value as the sum of the book value of equity and the present value of future economic profits. The capital asset pricing model alpha of a long-short portfolio of large stocks based on the intrinsic-value-to-market ratio is 56 bps per month between 1999 and 2023 when the book-to-market ratio and similarly constructed price multiples fail to predict returns. We argue that the underperformance of strategies based on traditional valuation multiples stems from their failure to model future economic profits, which have become a more significant component of firm value as discount rates have decreased.