We propose a loglinear present-value identity in which investment ("scale"), profitability ("yield"), and discount rates determine a firm’s market-to-book ratio. Our identity reconciles existing influential market-to-book decompositions and facilitates novel insights from three empirical applications: (1) Both investment and profitability are important contributors to the value spread and stock return news variance. (2) Any cross-sectional return predictability has a mirror image in cash-flow fundamentals, providing asset pricing theories with additional moments to match. (3) The investment spread significantly improves the predictability of time-series variation in the value premium and justifies the poor performance of value in recent years.

中文翻译：

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规模还是产量？现值恒等式

我们提出了一个对数线性现值恒等式，其中投资（“规模”）、盈利能力（“收益率”）和贴现率决定了公司的市账率。我们的身份协调了现有有影响力的市场与帐面分解，并促进了来自三个实证应用的新颖见解：（1）投资和盈利能力都是价值利差和股票回报新闻方差的重要贡献者。(2) 任何横截面回报的可预测性在现金流基本面中都有镜像，为资产定价理论提供了额外的匹配时刻。（3）投资利差显着提高了价值溢价时间序列变化的可预测性，证明了近年来价值表现不佳的合理性。