Journal of Banking and Finance ·Volume 93·AUG 2018

利用分析师目标价格估计风险回报关系

作者：Liuren Wu (Baruch College, Zicklin School of Business)

摘要：资产定价测试通常用事后收益取代事前预期收益。两者之间的巨大偏差大大削弱了这些测试的效果。本文建议将股票的分析师共识目标价格作为对股票未来价格的市场预期，从而直接构建股票的预期超额收益。分析不同时期和不同股票的预期超额收益行为表明，经典资产定价理论对事前预期收益的解释效果要好于事后已实现收益。本文也为风险因素的定价提供了新的思路。

关键词：风险收益关系；权益风险溢价；分析师目标价格

Estimating risk-return relations with analysts price targets

Liuren Wu (Baruch College, Zicklin School of Business)

ABSTRACT

Asset pricing tests often replace ex ante return expectation with ex post realization. The large deviation between the two drastically weakens the power of these tests. This paper proposes to use analysts consensus price target for a stock as the market expectation of the stock’s future price to directly construct the stock’s expected excess return. Analyzing the expected excess return behavior both over time and across different stocks shows that classic asset pricing theory works much better on ex ante return expectations than on ex post realizations. The analysis also provides new insights on the pricing of common equity risk factors.

Keywords: Risk-return relation; Equity risk premium; Analysts price targets

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618301377

翻译：张展