Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios: A Comment

Bryan Kelly; Seth Pruitt

doi:10.1561/104.00000114

Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios: A Comment

Bryan Kelly, Seth Pruitt

Finance

Research output: Contribution to journal › Article › peer-review

Abstract

Souza (2022) replicates the findings of Kelly and Pruitt (2013), then critiques their findings with alternative empirical choices. We challenge this critique, and argue that the choices of Kelly and Pruitt (2013, 2015) are the natural economic and statistical choices. The attenuation of predictability in Souza's (2022) empirical analysis is due primarily to a number of ill-advised implementation choices. We conclude that the results of Kelly and Pruitt (2013) are notably robust in the sample following publication of their paper.

Original language	English (US)
Pages (from-to)	373-381
Number of pages	9
Journal	Critical Finance Review
Volume	11
Issue number	2
DOIs	https://doi.org/10.1561/104.00000114
State	Published - May 3 2022

Keywords

Partial least squares
Present value model
Return prediction
Three-pass regression filter

ASJC Scopus subject areas

Finance

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10.1561/104.00000114

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abstract = "Souza (2022) replicates the findings of Kelly and Pruitt (2013), then critiques their findings with alternative empirical choices. We challenge this critique, and argue that the choices of Kelly and Pruitt (2013, 2015) are the natural economic and statistical choices. The attenuation of predictability in Souza's (2022) empirical analysis is due primarily to a number of ill-advised implementation choices. We conclude that the results of Kelly and Pruitt (2013) are notably robust in the sample following publication of their paper.",

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author = "Bryan Kelly and Seth Pruitt",

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AB - Souza (2022) replicates the findings of Kelly and Pruitt (2013), then critiques their findings with alternative empirical choices. We challenge this critique, and argue that the choices of Kelly and Pruitt (2013, 2015) are the natural economic and statistical choices. The attenuation of predictability in Souza's (2022) empirical analysis is due primarily to a number of ill-advised implementation choices. We conclude that the results of Kelly and Pruitt (2013) are notably robust in the sample following publication of their paper.

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Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios: A Comment

Abstract

Keywords

ASJC Scopus subject areas

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