Financial Analysts Journal·VOL73,NO.1· Jan/Feb 2016.

现金流相较利润能更好地预测股票收益吗？

作者：Stephen Foerster (Ivey Business School, Western University, London, Ontario), John Tsagarelis (Highstreet Asset Management and adjunct lecturer in the Department of Economics, Western University, London, Ontario), Grant Wang (Highstreet Asset Management, London, Ontario)

摘要：虽然各种基于收益报表的方法预测了股票收益的横截面数据，但直接现金流量测度法具有更强的预测能力。我们将间接的现金流量表分析方法转换为对来自经营和其他来源的现金流进行分解以及更直接的估计，并根据此形成投资组合。处于最高十分位的高现金流股票比处于最低十分位低的现金流股票收益每年要高出10%（经风险调整）。我们的结果对投资时限和各种风险因素以及部门控制是稳健的。我们还表明，除了经营现金流量信息，现金税和资本支出提供增量预测能力。

Are Cash Flows Better Stock Return Predictors Than Profits?

Stephen Foerster (Ivey Business School, Western University, London, Ontario), John Tsagarelis (Highstreet Asset Management and adjunct lecturer in the Department of Economics, Western University, London, Ontario), Grant Wang (Highstreet Asset Management, London, Ontario)

ABSTRACT

Although various income statement–based measures predict the cross section of stock returns, direct method cash flow measures have even stronger predictive power. We transform indirect method cash flow statements into disaggregated and more direct estimates of cash flows from operations and other sources and form portfolios on the basis of these measures. Stocks in the highest-cash-flow decile outperform those in the lowest by over 10% annually (risk adjusted). Our results are robust to investment horizons and across risk factors and sector controls. We also show that, in addition to operating cash flow information, cash taxes and capital expenditures provide incremental predictive power.

原文链接： http://dx.doi.org/10.2469/faj.v73.n1.2

翻译：赵胜旺