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The Rate of Return on Everything, 1870–2015

Jordà, Òscar - 2018

What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the long-run? Which particular assets have the highest long-run returns? We answer these questions on the basis of a new...

Persistent link: https://www.econbiz.de/10012931594

Growth Expectations, Dividend Yields, and Future Stock Returns

Da, Zhi - 2014

According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is … the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We … construct a measure of stock yield based on sell-side analysts' near-term earnings forecasts that predicts US stock index …

Persistent link: https://www.econbiz.de/10013044614

The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation

Lan, Yingcong - 2011

Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed to the high-water mark (HWM). We study the effects of managerial skills (alpha) and compensation on dynamic leverage choices and the valuation of fees and investors' payoffs....

Persistent link: https://www.econbiz.de/10013128908

The Leading Premium

Croce, Mariano (Max) Massimiliano - 2019

In this paper, we compute conditional measures of lead-lag relationships between GDP growth and industry-level cash-flow growth in the US. Our results show that firms in leading industries pay an average annualized return 4% higher than that of firms in lagging industries. Using both time series...

Persistent link: https://www.econbiz.de/10012890904

Wealth Inequality in the United States Since 1913 : Evidence from Capitalized Income Tax Data

Saez, Emmanuel - 2014

This paper combines income tax returns with Flow of Funds data to estimate the distribution of household wealth in the United States since 1913. We estimate wealth by capitalizing the incomes reported by individual taxpayers, accounting for assets that do not generate taxable income. We...

Persistent link: https://www.econbiz.de/10013044976

Efficient and Inefficient Sales of Corporate Control

Bebchuk, Lucian A. - 2010

This paper develops a framework for analyzing transactions that transfer a company's controlling block from an existing controller to a new controller. This framework is used to compare the market rule, which is followed in the United States, with the equal opportunity rule, which prevails in...

Persistent link: https://www.econbiz.de/10013139247

The Valuation of Long-Dated Assets

Martin, Ian - 2010

The expected time- and risk-adjusted cumulative return on any asset equals one at all horizons. Nonetheless, I show that a typical asset's realized time- and risk-adjusted cumulative return tends to zero almost surely. As a corollary, the value of a typical long-dated asset is driven by extreme...

Persistent link: https://www.econbiz.de/10013139893

Growth Options and Firm Valuation

Kraft, Holger - 2013

This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By decomposing...

Persistent link: https://www.econbiz.de/10013085928

Corporate Misreporting and Bank Loan Contracting

Graham, John R. - 2008

This paper is the first to study the effect of financial restatement on bank loan contracting. Compared with loans initiated before restatement, loans initiated after restatement have significantly higher spreads, shorter maturities, higher likelihood of being secured, and more covenant...

Persistent link: https://www.econbiz.de/10012773124

Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms

Kane, Edward J. - 2008

This paper decomposes both the market sensitivity and the interest-rate sensitivity of bank stock into on-balance-sheet and off-balance-sheet components. It derives these constituent and often-offsetting sensitivities from a nonstationary three-equation model that employs accounting and...

Persistent link: https://www.econbiz.de/10012774829

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