We examine the previously documented effect between a firm’s FSCORE and book-to-market ratio proposed by Piotroski and So (2012) and analyze the authors’ expectation errors hypothesis from a present value perspective. We find a strong value premium which is concentrated among firms where book-to-market implied expectations are incongruent with underlying fundamental strength. Using the decomposition of variation in book-to-market ratios motivated by Cohen et al. (2003), we show that the observed effect between a firm’s FSCORE and book-to-market ratio is attributable to mispricing as the variation is mostly due to variation in expected returns rather than variation in expected profitability.

我们研究了之前记录的 Piotroski 和 So（2012）提出的公司 FSCORE 与账面市值比之间的影响，并从现值角度分析了作者的预期误差假设。我们发现，较高的价值溢价集中在账面市值比隐含预期与潜在基本面实力不一致的公司中。利用 Cohen 等人提出的账面市值比变化分解。 (2003)，我们表明观察到的公司 FSCORE 和账面市值比之间的影响可归因于错误定价，因为这种变化主要是由于预期回报的变化而不是预期盈利能力的变化。