Stock Returns Predictive Power Based on Residual Income Valuation Model

摘要：

Based on the data of A-share listed companies on the Chinese stock market in 1996-2006, this paper makes empirical investigation on the power of the Feltham-Ohlson’s residual income valuation model in predicting future cross-sectional stock returns. When calculating “composite income to calculate the internal value of stocks based on residual income valuation model, the residual income model shows significantly higher predictive power and higher stability than other variables, which can thus lead to the conclusion that the residual income valuation model can well forecast future stock returns and its predictive power gets stronger over longer horizons (beyond 12 months) and remains effective after some related factors are controlled.

关键词： Residual Income Valuation Model Stock Returns Predictive Power

作者: SUN Jingli XIAO Xiang ZHANG Lan

作者单位: School of Economic and Management, Beijing Jiaotong University, P.R.China, 100044

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）