2005 Volume 2005 Issue 6 Pages 17-33
This paper investigates the explaining power of monthly residual income(RI)model in Japan. Our analysis covers 75 months from June 1997 to August 2003. A sample size is about 75000. Our model considers the dynamics of analysts’ forecast revision every month. There are several findings. First, the monthly RI model works effectively. It can be well applied in the practical context. Second, though the explaining power of monthly RI is not stable during the period examined, it increases in recent years.