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- W1504150395 abstract "We contribute to the debate over whether forecastable stock returns reflect an unexploited profit opportunity or rationally reflect risk differentials. We test whether agents could earn excess returns by selecting stocks which have a low market price compared to an estimate of the fundamental value obtained from the present value model. The criterion for stock picking is one which could actually have been implemented by agents in real time. We show that statistically significant, and quantitatively substantial, excess returns are delivered by portfolios of stocks which are cheap relative to our estimate of fundamental value. There is no evidence that the under priced stocks are relatively risky and hence excess returns cannot easily be interpreted as an equilibrium compensation for risk." @default.
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- W1504150395 date "2007-04-01" @default.
- W1504150395 modified "2023-09-27" @default.
- W1504150395 title "Forecasting Cross-section Stock Returns using the Present Value Model" @default.
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