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Gerakos J , Linnainmaa J T , Nikolaev V , et al. Earnings, retained earnings, and book-to-market in the cross section of expected returns[J]. Journal of Financial Economics, 2020, 135( 1):231-254.
Earnings, retained earnings, and book-to-market in the cross section of expected.pdf
(1.08 MB)
主要复刻参考文献中前面几个主要的表格
不同于Fama-French用到的账面市值BE，采用新的方法计算账面市值
BE=资本投入(Contributed Capital)+留存收益(Retained Earnings)+累计其他综合收益(AOCI)
数据说明
数据对象：沪深A股（收益率数据：2001-2019年，财报数据2000-2018年）
数据筛选：剔除金融行业，剔除上市不满半年的交易数据，剔除缺失值
结果截图
Table 1
Summary statistics and correlations for retained earnings, contributed capital, and book value of equity.
Table 2
Retained earnings and contributed capital in Fama–MacBeth regressions.
Panel A: Main regressions
Panel B: Regressions using reported book value of equity
Panel C: Alternative sample
Panel D: Earnings-to-price, book-to-market, and retained earnings-to-market
Table 3
Returns on portfolios sorted by book-to-market, retained earnings-to-market, and contributed capital-to-market. （新增E/P指标=每股收益除以股价）
Table 4
Information content of HML-factors based book value of equity, retained earnings, contributed capital, and earnings-to-price.
Table A.2
Two-way portfolio sorts: Book-to-market and retained earnings-to-market
Table GRS test
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包含数据和代码
【论文实证】 - 包含三因子模型和Fama and MacBeth两步回归Stata代码.zip
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本附件包括：- dofile.do
- Earnings, retained earnings, and book-to-market i.pdf
- Result.docx
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