We develop a firm-specific measure of valuation uncertainty from the distribution of valuations predicted by an empirical multiples-based valuation model. The measure is effective in summarizing the information in existing proxies and offers substantial incremental variation. Among many possible...

I study the return predictability of firm life cycle, originally documented by Dickinson (2011). I show that a hedge portfolio strategy going long on mature firms and short on introduction firms generates a significant hedge portfolio return of 1.4% per month in return-weighted portfolios and...

We study the value premium using the multiples-based market-to-book decomposition of Rhodes-Kropf, Robinson, and Viswanathan (2005). The market-to-value component drives all of the value strategy return, while the value-to-book component exhibits no return predictability in either portfolio...

We investigate whether stock prices reflect the asymmetric persistence of accruals and cash flows resulting from conditional conservatism. Using the Mishkin (1983) test (MT), we provide further evidence on the earnings fixation explanation for the accrual anomaly. We also apply panel estimation...

Conventional measures of risk in earnings based on historical standard deviation require long time series data and are inadequate when the distribution of earnings deviates from normality. We introduce a methodology based on current fundamentals and quantile regression to forecast risk reflected...