[工程科技]Stock valuation and learning about profitability.pdfVIP

NBER WORKING PAPER SERIES STOCK VALUATION AND LEARNING ABOUT PROFITABILITY Lubos Pastor Pietro Veronesi Working Paper 8991 /papers/w8991 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 June 2002 Helpful comments were gratefully received from Dan Bens, Tony Bernardo, Michael Brennan, John Campbell, George Constantinides, Gene Fama, Ken French, Chris Geczy, Rick Green, John Heaton, Boyan Jovanovic, Rob Stambaugh, Per Strömberg, Tuomo Vuolteenaho, Larry Wall, Franco Wong, Yihong Xia, an anonymous referee, and seminar participants at the Federal Reserve Bank of Atlanta, the Federal Reserve Bank of Chicago, the University of Chicago, and the University of Pennsylvania. The views expressed herein are those of the authors and not necessarily those of the National Bureau of Economic Research. © 2002 by Lubos Pastor and Pietro Veronesi. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. Stock Valuation and Learning about Profitability Lubos Pastor and Pietro Veronesi NBER Working Paper No. 8991 June 2002 JEL No. G12 ABSTRACT We develop a simple approach to valuing stocks in the presence of learning about average profitability. The market-to-book ratio (M/B) increases with uncertainty about average profitability, especially for firms that pay no dividends. M/B is predicted to decline over a firms lifetime due to learning, with steeper decline when the firm is you