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What Explains the Lagged Investment Effect?

Eberly, Janice C. - 2011

empirically more important than the cash-flow and Q effects combined. We show that the specification of investment adjustment …

Persistent link: https://www.econbiz.de/10013128270

Predictability of Returns and Cash Flows

Koijen, Ralph S. J. - 2010

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries

Persistent link: https://www.econbiz.de/10013134792

Do Private Equity Managers Earn Their Fees? Compensation, Ownership, and Cash Flow Performance

Robinson, David T. - 2014

We study the relation between compensation practices, incentives, and performance in private equity using new data that connect ownership structures, management contracts, and quarterly cash flows for a large sample of buyout and venture capital funds from 1984-2010. Although many critics of...

Persistent link: https://www.econbiz.de/10013066311

Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity

Robinson, David T. - 2014

Public and private equity waves move together. Using quarterly cash-flow data for a large sample of venture capital and …, most cash-flow variation is idiosyncratic across funds, and most predictable variation is explained by the age of the fund …

Persistent link: https://www.econbiz.de/10013067387

The Analytics of Investment, Q, and Cash Flow

Abel, Andrew B. - 2015

operating profit of capital, I extend the model to include measurement error and analyze the cash-flow coefficient in … regressions of investment on q and cash flow. In empirical studies, the estimated cash-flow coefficient is generally positive and … derive closed-form expressions for the cash-flow coefficient that are positive and larger for faster growing firms, yet there …

Persistent link: https://www.econbiz.de/10013015553

Dynamic Debt Maturity

He, Zhiguo - 2016

A firm chooses its debt maturity structure and default timing dynamically, both without commitment. Via the fraction of newly issued short-term bonds, equity holders control the maturity structure, which affects their endogenous default decision. A shortening equilibrium with accelerated default...

Persistent link: https://www.econbiz.de/10013000527

Risk Price Dynamics

Borovička, Jaroslav - 2009

shock on future cash-flow growth. The elasticities are designed to accommodate nonlinearities in the stochastic evolution …

Persistent link: https://www.econbiz.de/10013154476

Cash-Flow Risk, Discount Risk, and the Value Premium

Santos, Tano - 2006

with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the …

Persistent link: https://www.econbiz.de/10012783344

Consumption Strikes Back? : Measuring Long-Run Risk

Hansen, Lars Peter - 2005

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features components of financial cash flows that are only realized far into the future but are still reflected in current...

Persistent link: https://www.econbiz.de/10012784498

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Wachter, Jessica A. - 2005

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a...

Persistent link: https://www.econbiz.de/10012784914