This paper extends the fundamentals-based valuation model in Nichols et al. (2017) to global, developed equity markets. The model is able to explain, on average, 81% of the cross-sectional share price variation among global stocks. To be applicable among international markets, actual cash-flow streams instead of clean surplus accounting figures are used to reflect the different importance of dividends and share repurchases around the world. Firms identified as undervalued outperform overvalued firms by 0.62% p.m. after controlling for size, book-to-market, operating profitability, investment, and momentum. This premium is further not explained by lottery-like stock preferences (MAX, idiosyncratic volatility, skewness), mispricing related variables (FSCORE, $\Delta$XFIN), or stock issuances. In support of a mispricing related explanation, we detect a significant post publication return decline in the easily exploitable long portfolio leg comprising undervalued stocks. Together with our analysis on investor sentiment, portfolio transitions, and arbitrage asymmetry, we provide evidence that deviations of the share price from the model’s estimated value indicate actual mispricing and according returns are unlikely to be a compensation for risk exposure.

本文扩展了 Nichols 等人基于基本面的估值模型。（2017）到全球发达的股票市场。该模型平均能够解释全球股票 81% 的横截面股价变化。为了适用于国际市场，使用实际现金流量而不是净盈余会计数据来反映全球股息和股票回购的不同重要性。在控制规模、账面市值比、营业利润率、投资和动量后，被认定为被低估的公司的表现比被高估的公司高 0.62%。这种溢价进一步不能通过类似彩票的股票偏好（MAX、特殊波动性、偏度）、错误定价相关变量（FSCORE、$\Delta$XFIN），或股票发行。为了支持与错误定价相关的解释，我们发现，由被低估的股票组成的易于利用的多头投资组合部分在发布后回报率显着下降。结合我们对投资者情绪、投资组合转换和套利不对称性的分析，我们提供的证据表明，股价与模型估计值的偏差表明实际定价错误，并且相应的回报不太可能补偿风险敞口。