文章基本信息

标题：Is Earnings Yield a Security Return Model Anomaly?
本地全文：下载
作者：Rebecca Abraham ; Charles Harrington
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2018
卷号：08
期号：11
页码：2116-2134
DOI：10.4236/tel.2018.811139
语种：English
出版社：Scientific Research Publishing
摘要：This paper supplements the traditional security return model, by adding earnings yield to the risk-free rate, market risk, size, and book-to-market equity as predictors of security returns. Earnings yield is the ratio of net income to market price, so that it represents the segment of market price that depends upon operating performance of the firm, rather than market perception. This paper establishes a theoretical framework for the earnings yield construct, describing it as a predictor of return on assets, return on equity, economic value added, and the equity multiplier. Earnings yield, therefore, predicts the ability to purchase productive assets, achieve a positive return for shareholders, and increase debt capacity. Then, earnings yield is subjected to empirical testing through a regression of its impact on security returns, with the finding that it explained a significant amount of the variance in security returns beyond size and book-to-market equity.
关键词：Earnings Yield;Stock Returns;Economic Value Added;Equity Multiplier;Debt