增长调整后的市盈率
A growth adjusted price-earnings ratio
摘要：
本文的目的是介绍一种新的增长调整后的市盈率衡量（GA-P/E），并评估其作为价值衡量和未来股票收益预测的有效性。从传统的市盈率解释为一段时间的启发，新的措施计算必要的投资回收期，同时考虑盈利增长。推导出的措施，我们概述了它的一些属性进行广泛的实证研究之前，利用排序的投资组合方法。我们发现，低GA-P/E股票的回报超过那些高GA-P/E股票，无论是在绝对意义上，也在风险调整的基础上。此外，低GA-P/E组合的回报率超过了同一股票池中P/E排序的价值组合的回报率。最后，我们的GA-P/E排序的股票的回报进行了分析，通过对标准的法玛和法国的风险因素进行回归。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
