The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Accounting valuation, market expectation, and cross-sectional stock returns
Open accessAbstract
This study examines the usefulness of an analyst-based valuation model in predicting cross-sectional stock returns. We estimate firms' fundamental values (V) using I/B/E/S consensus forecasts and a residual income model. We find that V is highly correlated with contemporaneous stock price, and that the V/P ratio is a good predictor of long-term cross-sectional returns. This effect is not explained by a firm's market beta, B/P ratio, or total market capitalization. In addition, we find errors in consensus analyst earnings forecasts are predictable, and that the predictive power of V/P can be improved by incorporating these errors.
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Cites
Tversky, A., & Kahneman, D. (1974) · Science · doi:10.1126/science.185.4157.1124 · Cited by 28,810
Judgment under Uncertainty: Heuristics and Biases
Tversky, A., & Kahneman, D. (1975) · Utility, Probability, and Human Decision Making · doi:10.1007/978-94-010-1834-0_8 · Cited by 22,650
Improved Methods for Tests of Long‐Run Abnormal Stock Returns
Lyon, J. D., Barber, B. M., & Tsai, C. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00101 · Cited by 1,828
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… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
The Decline of Inflation and the Bull Market of 1982-1999
Ritter, J. R., & Warr, R. S. (2002) · The Journal of Financial and Quantitative Analysis · doi:10.2307/3594994 · Cited by 339
Valuation Approaches and Metrics: A Survey of the Theory and Evidence
Damodaran, A. (2007) · Foundations and Trends® in Finance · doi:10.1561/0500000013 · Cited by 326
Metadata
- Authors
- Frankel, R., & Lee, C. M. C.
- Venue
- Journal of Accounting and Economics
- Publisher
- Elsevier BV
- Published
- 1998-06
- Volume
- 25
- Issue
- 3
- Pages
- 283-319
- ISSN
- 0165-4101 (ISSN-L)
- OpenAlex
- W2069414789
- Cited by
- 1,082
- References
- 3
- FWCI
- 57.64
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Frankel, R., & Lee, C. M. C. (1998). Accounting valuation, market expectation, and cross-sectional stock returns. Journal of Accounting and Economics. https://doi.org/10.1016/s0165-4101(98)00026-3
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
