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Expected stock returns worldwide : a log-linear present-value approach
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - In: The accounting review : a publication of the American … 97 (2022) 2, pp. 107-133
Persistent link: https://www.econbiz.de/10013198687
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Chapter 19. Market Liquidity—Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - 2013
basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …
Persistent link: https://www.econbiz.de/10014025359
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Validating implied cost of capital with realized returns by using alternative measures of cash-flow news
Ketterer, Simeon; Dionysiou, Dionysia; Eierle, Brigitte; … - In: The British accounting review : the journal of the … 55 (2023) 6, pp. 1-24
Persistent link: https://www.econbiz.de/10014458954
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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … returns for 26 countries (18 developed and 8 emerging markets) between July 1996 and June 2011 and adopting the US investor … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …
Persistent link: https://www.econbiz.de/10009770247
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Do analyst stock recommendations piggyback on recent corporate news? : an analysis of regular-hour and after-hours revisions
Li, Edward X.; Ramesh, K.; Shen, Min; Wu, Joanna Shuang - 2015 - Rev.
Analysts often update their recommendations following corporate news. Questions have been raised regarding analysts' ability to generate new information beyond recent corporate events. Employing a comprehensive database on corporate news we show that only a small minority of 27.9% of all...
Persistent link: https://www.econbiz.de/10010483419
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Common risk factors in international stock markets
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - In: Financial markets and portfolio management 33 (2019) 3, pp. 213-241
Persistent link: https://www.econbiz.de/10012427778
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The implied cost of capital: A new approach
Hou, Kewei; Dijk, Mathijs A. van; Zhang, Yinglei - In: Journal of Accounting and Economics 53 (2012) 3, pp. 504-526
We use earnings forecasts from a cross-sectional model to proxy for cash flow expectations and estimate the implied cost of capital (ICC) for a large sample of firms over 1968–2008. The earnings forecasts generated by the cross-sectional model are superior to analysts' forecasts in terms of...
Persistent link: https://www.econbiz.de/10010576563
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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859
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The effect of information quality on liquidity risk
Ng, Jeffrey - In: Journal of Accounting and Economics 52 (2011) 2, pp. 126-143
I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is …
Persistent link: https://www.econbiz.de/10010572408
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Information risk, cost of equity and stock returns : evidence from Iranian firms
Abdollahi, Ahmad; Gerayli, Mehdi Safari; Pitenoei, … - In: Journal of financial reporting & accounting : JFRA 21 (2023) 2, pp. 370-383
Persistent link: https://www.econbiz.de/10014304859