Project: Earnings yield statistics


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Earnings yield statistics

When you buy a stock, you want your expected return to exceed some discount rate. That return differs across stocks depending on their quality. It also fluctuates over time. As a first step before deep analysis of any particular company you may utilize a quantitative screening which may indicate if your selected company has a chance of exceeding your discount rate, at that very moment and in principle. We propose a methodology for such screening and build a data-base with data on how did the expected yield behave for most of the liquid stocks in Russia and in the US.

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About the project

When you buy stock, you expect to earn money either from company profits (dividends), or from re-selling it at higher price. In any case, you need to know how much profits you may get compared to price you pay. This is reflected in P/E multiple, or earnings yield, its reverse.

Other things equal, you want higher earnings yield for your purchases. So you screen for cheap stocks looking for certain levels of yield. But different stocks offer different yields, depending on their quality - ability to maintain revenue growth rates and net profit margins, and their net asset value.

If your required yield is too high, you may miss a good investment because no one will sell to you at that price. This is what happened to me recently. So I decided to find out what levels of yield are "achievable" to buy at, for stocks in general and for some stocks that are of particular interest to me.

So, the questions are:

1) Given the investable universe and interest rate levels, what is the distribution of yield maximums and minimums within particular time range

2) Given the selected time range, what particular stocks were available for purchase at yields above some discount rate

I will be participating and mentoring the project myself. The result will be a public report.

Reviews from project creator & expert

Alexander Pisanov


Anna did a remarkable job. With little to no supervision she was able to handle all the tasks accurately and in full, while also being initiative with respect to some infrastructure-related problems. I therefore WON'T recommend anyone else working with her, simply because I may need her help and I want her to be readily available.



Started: 20/02/2019
Last update: 30/05/2019
Date of publication: 30/05/2019



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