投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表-資料下載頁(yè)
2024-10-19 18:59本頁(yè)面
【正文】 s 1 9 9 0 s**1 9 2 6 9 7 1 9 2 6 9 7_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _L a r g e C o mp a n y S t o c k s 1 9 . 2 % ? 0 . 1 % 9 . 2 % 1 9 . 4 % 7 . 8 % 5 . 9 % 1 7 . 5 % 1 6 . 6 % 1 3 . 0 % 2 0 . 3 %S ma l l C o mp a n y S t o c k s ? 4 . 5 1 . 4 2 0 . 7 1 6 . 9 1 5 . 5 1 1 . 5 1 5 . 8 1 6 . 5 1 7 . 7 3 3 . 9L o n g T e r m C o r p B o n d s 5 . 2 6 . 9 2 . 7 1 . 0 1 . 7 6 . 2 1 3 . 0 1 0 . 2 6 . 1 8 . 7L o n g T e r m G o v t B o n d s 5 . 0 4 . 9 3 . 2 ? 0 . 1 1 . 4 5 . 5 1 2 . 6 1 0 . 7 5 . 6 9 . 2T r e a su r y B i l l s 3 . 7 0 . 6 0 . 4 1 . 9 3 . 9 6 . 3 8 . 9 5 . 0 3 . 8 3 . 2C h a n g e i n C o n s u me r P r i c e I n d e x? 1 . 1 ? 2 . 0 5 . 4 2 . 2 2 . 5 7 . 4 5 . 1 3 . 1 3 . 2 4 . 5______________________________________________________________________________*B a se d o n t h e p e r i o d 1 9 2 6 1 9 2 9 . **B a se d o n t h e p e r i o d 1 9 9 0 1 9 9 7 .S o u r c e : S t o c k s b o n d s B i l l s a n d I n f l a t i o n 1 9 9 8 Y e a r b o o k , ( C h i c a g o : I b b o t so n A sso c i a t e s, 1 9 9 8 ) .Technical Screening: Returns to Size Average Monthly Returns and Estimated Betas from July 1963 to December 1990 for Ten Size Groups M e a nS i z e M ont hl y M e a nG roup Re t urn (%) Be t a1 (L a rg e ) 2 3 4 5 6 7 8 9 10 (S m a l l ) Returns to Beta: Is Beta Dead? Average Monthly Returns and Estimated Betas from July 1963 to December 1990 for Ten Beta Groups MeanBet a Monthly MeanGroup Ret urn (%) Bet a1 ( H i gh) 1. 26 1. 682 1. 33 1. 523 1. 23 1. 414 1. 23 1. 325 1. 30 1. 266 1. 30 1. 197 1. 31 1. 138 1. 26 1. 049 1. 32 0. 9210 ( L ow ) 1. 20 0. 80Fundamental Screening: Return to PricetoBook Average Monthly Returns and Estimated Betas from July 1963 to December 1990 for Ten Price/Book Groups. M e a nP ri c e / Book M ont hl y M e a nG roup Re t urn (%) Be t a1 ( H i g h ) 2 3 4 5 6 7 8 9 10 ( L o w ) Returns to two fundamental screens Year by Year Returns: Value minus Glamour Problems with Screening ? You could be loading up on a risk factor ? You need a risk model ? You are in danger of trading with someone who knows more than you ? You need a model that anticipates future payoffs A fullblown fundamental analysis supplies this A P/V Ratio: The Dow Stocks, 197998 Statistics Benchmark Dates Mean September 1987: StdDev .22 April 1993: Max April 1994: Min April 1995: Mean+2 Std Dev = April 1996: Mean2 StdDev = April 1997: April 1998: THE P/V RATIO IS: (as of market close on December 4, 1998).
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