Jiaxin PENG

2022

1. Job Market

   Earnings-to-Market Ratios, Long-Term Change in Earnings and Expected Stock Returns

   Jiaxin Peng

   2022

   Abs

   This paper examines value effects proxies, book-to-market ratio(BTM), retained earnings-to-market ratio(RTM), and contributed capital-to-market ratio(CTM) by dividing them into past five-year variables and compares the performance at five-year, one-year, and one-month intervals. The results reveal that RTM exhibits significance only without any time lags, whereas contributed capital growth emerges as the most significant factor when considering past information in the regressions. Meanwhile, shorter intervals of prior stock returns exhibit greater predictive power for future stock returns compared to longer-term prior returns. Moreover, enhancing the data updating frequency from annual to monthly intervals leads to incremental improvements in the significance of price-scaled variables.