5.EGIBS: Analyst-predicted earnings growth. This is computed as follows:
where EARN is a weighted average of the median earnings predictions by
analysts for the current year and next year, and EPS is the sum of the four
most recent quarterly earnings per share.
6.DELE: Recent earnings change. This is a measure of recent earnings
growth and is measured as follows:
where EPStis the earnings per share for the most recent year, and EPSt–1is
the earnings per share for the previous year. We set this to missing if the de-
nominator is nonpositive.
Earnings Yield
1.EPIBS: Analyst-predicted earnings-to-price. This is computed as the
weighted average of analysts’ median predicted earnings for the current fis-
cal year and next fiscal year divided by the most recent price.
2.ETOP: Trailing annual earnings-to-price. This is computed as the sum
of the four most recent quarterly earnings per share divided by the most re-
cent price.
3.ETP5: Historical earnings-to-price. This is computed as follows:
where EPStis equal to the earnings per share over year t, and Ptis equal to
the closing price per share at the end of year t.
Value
1.BTOP: Book-to-price ratio. This is the book value of common equity as
of the most recent fiscal year-end divided by the most recent value of the
market capitalization of the equity.
ETP5
EPS
= =
=∑
∑
1
1
11T
T
P
t
tTt
tTDELEEPS EPS
(EPS EPS=−
+−
−()
)/tt
tt1
1 2EGIBSEARN EPS
EARN EPS=−
+()
()/2