Posts Tagged ‘Ratios

27
May
11

Fun & Finance: Capítulo 9, Acciones Argentinas

En este capítulo -que introduce la tematica de acciones-, Hector le cuenta a Gaston como fue el año 2010 para el MERVAL, cuales fueron las estrellas de ese año. Y lo mas importante, como empezar a ver si una accion esta barata.

27
Feb
10

Paper: Retornos, Ganancias y Book Value

Returns to Buying Earnings and Book Value: Accounting for Growth and Risk

Abstract:
This paper documents that the earnings yield and book-to-price combine to predict equity returns in a way that is consistent with the rational pricing of risk. It is well known that earnings yields predict returns in the cross-section, consistent with standard formulas that show that the earnings yield equals the required return when there is no expected earnings growth beyond that from retention. With growth, those same formulas show that the earnings yield is increasing in the required return but decreasing in the growth. So, if growth is risky and requires a higher return, the determination of the required return from a given earnings yield is problematical. The paper shows that book-to-price facilitates the determination: for a given earnings yield, book-to-price indicates additional return associated with expected growth. The finding provides a rationalization of the well-documented book-to-price effect in stock returns: book-to-price indicates the risk in buying earnings and earnings growth. However, growth identified by a high book-to-price as yielding a higher return is quite different from “growth” typically attributed to a low book-to-price as yielding a lower return. Accordingly, the notion of “growth” versus “value” is redefined.

Link al Paper

19
Feb
10

Paper: Caracteristicas y Retornos

Characteristics, Affect, and Stock Returns

Abstract:
Why were the returns of stocks with low book-to-market ratios and high market capitalization’s lower, on average, than the returns of stocks with high book-to-market ratios and low market capitalization’s? In this paper we pit the characteristics hypothesis against the affect hypothesis. The characteristics hypothesis says that some characteristics, such as low book-to-market ratio and high market capitalization, are associated with high future stock returns in typical investors’ minds. The affect hypothesis says that the names of some companies elicit positive affect which is associated with high future stock returns in typical investors’ minds. We find, through experiments, that the evidence is more consistent with the affect hypothesis than with the characteristics hypothesis.

Link al Paper

11
Feb
10

Paper Predicción y Ratios

Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better?

Abstract:
We investigate the prediction of excess returns and fundamentals by financial ratios – dividend-price ratio, earnings-price ratio, and book-to-market ratio – by decomposing financial ratios into a cyclical component and a stochastic trend component. We find both components predict excess returns and fundamentals. The cyclical components predict increases in future stock returns, while the stochastic trend components predict declines in future stock returns, in particular, 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, consistent with present value models.

Link al Paper




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