Table A1 Validity of LnP/V as the...

Table A1

Validity of LnP/V as the overvaluation likelihood measure

Variable	LnP/V:Q1		LnP/V:Q2		LnP/V:Q3		LnP/V:Q4		LnP/V:Q5		Q5 - Q1
Variable	N	Mean	N	Mean	N	Mean	N	Mean	N	Mean	Diff	t
R_t	49,244	−10.52%	49,244	4.51%	49,244	12.16%	49,244	21.35%	49,244	39.67%	50.19%	120.00
R_t + 1	46,259	31.15%	46,259	18.91%	46,259	13.90%	46,259	9.58%	46,259	4.58%	−26.57%	−42.24
Short_t	46,391	0.43%	46,392	0.75%	46,392	1.12%	46,392	1.49%	46,392	1.82%	1.38%	78.37
% (Short_t > 0)	46,391	24.63%	46,392	38.25%	46,392	48.36%	46,392	55.07%	46,392	52.01%	27.38%	89.39
NetStkIssue_t + 1	46,384	4.32%	46,385	3.06%	46,385	3.62%	46,385	4.55%	46,385	7.18%	2.86%	25.09
% (NetStkIssue_t + 1 > 0)	46,384	52.38%	46,385	59.08%	46,385	64.67%	46,385	69.12%	46,385	76.75%	24.37%	80.23
SalesByACQ_t + 1	43,605	0.91%	43,606	1.33%	43,606	1.58%	43,606	1.98%	43,606	2.60%	1.69%	33.87
% (SalesByACQ_t + 1 > 0)	46,384	4.26%	46,385	6.67%	46,385	8.11%	46,385	9.99%	46,385	12.65%	8.39%	45.05
%(SalesByACQ_t + 1 > 0.2)	43,605	1.86%	43,606	2.69%	43,606	3.18%	43,606	4.05%	43,606	5.38%	3.52%	27.91

Variable	LnP/V:Q1		LnP/V:Q2		LnP/V:Q3		LnP/V:Q4		LnP/V:Q5		Q5 - Q1
Variable	N	Mean	N	Mean	N	Mean	N	Mean	N	Mean	Diff	t
R_t	49,244	−10.52%	49,244	4.51%	49,244	12.16%	49,244	21.35%	49,244	39.67%	50.19%	120.00
R_t + 1	46,259	31.15%	46,259	18.91%	46,259	13.90%	46,259	9.58%	46,259	4.58%	−26.57%	−42.24
Short_t	46,391	0.43%	46,392	0.75%	46,392	1.12%	46,392	1.49%	46,392	1.82%	1.38%	78.37
% (Short_t > 0)	46,391	24.63%	46,392	38.25%	46,392	48.36%	46,392	55.07%	46,392	52.01%	27.38%	89.39
NetStkIssue_t + 1	46,384	4.32%	46,385	3.06%	46,385	3.62%	46,385	4.55%	46,385	7.18%	2.86%	25.09
% (NetStkIssue_t + 1 > 0)	46,384	52.38%	46,385	59.08%	46,385	64.67%	46,385	69.12%	46,385	76.75%	24.37%	80.23
SalesByACQ_t + 1	43,605	0.91%	43,606	1.33%	43,606	1.58%	43,606	1.98%	43,606	2.60%	1.69%	33.87
% (SalesByACQ_t + 1 > 0)	46,384	4.26%	46,385	6.67%	46,385	8.11%	46,385	9.99%	46,385	12.65%	8.39%	45.05
%(SalesByACQ_t + 1 > 0.2)	43,605	1.86%	43,606	2.69%	43,606	3.18%	43,606	4.05%	43,606	5.38%	3.52%	27.91

Note(s): This table presents comparisons between different $L n P / V$ groups along dimensions that prior studies find vary with equity overvaluation. $L n P / V$ is the difference between the natural logarithm of the market value of equity at the end of fiscal year t and the natural logarithm of the estimated intrinsic value of equity obtained using accounting information from financial statements of fiscal year t; $L n P / V (t) : Q i$ indicates the i-th quintile of $L n P / V (t)$ ⁠, i = 1 to 5; R_t (R_t + 1) is stock return over the 12-month period of fiscal year t (t + 1); Short_t is the percentage of outstanding common shares shorted at the fiscal year-end of t; NetStkIssue_t + 1 is change in the natural logarithm of split-adjusted shares outstanding from fiscal year t to fiscal year t + 1; and SalesByACQ_t + 1 is the percentage of sales arising from acquisitions in t + 1

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