论文标题
增长调整后的价值比率
A growth adjusted price-earnings ratio
论文作者
论文摘要
本文的目的是引入新的增长调整后的价格增长措施（GA-P/E），并评估其功效作为对未来股票回报的价值和预测指标的措施。新措施从将传统价格可获得比率解释为一段时间的解释中汲取灵感，计算必要的投资回收期，同时考虑到收益增长。在得出了该度量之后，我们概述了其许多属性，然后使用分类的投资组合方法进行广泛的经验研究。我们发现，在绝对意义上，在风险调整后的基础上，低ga-p/e股票的回报均超过了高ga-p/e股票的回报。此外，发现低ga-p/e porfolio的回报超出了由同一库存库中的p/e排序产生的价值投资组合的回报。最后，通过对标准的FAMA和法国风险因素进行回归，对我们的GA-P/E分类Porfolios的回报进行了分析。
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. Taking inspiration from the interpretation of the traditional price-earnings ratio as a period of time, the new measure computes the requisite payback period whilst accounting for earnings growth. Having derived the measure, we outline a number of its properties before conducting an extensive empirical study utilising a sorted portfolio methodology. We find that the returns of the low GA-P/E stocks exceed those of the high GA-P/E stocks, both in an absolute sense and also on a risk-adjusted basis. Furthermore, the returns from the low GA-P/E porfolio was found to exceed those of the value portfolio arising from a P/E sort on the same pool of stocks. Finally, the returns of our GA-P/E sorted porfolios were subjected to analysis by conducting regressions against the standard Fama and French risk factors.
