Showing 1 - 10 of 101
We construct accounting-based costs of equity for dollar neutral long-short trading strategies formed on a comprehensive list of anomaly variables. These variables include book-to-market, size, composite issuance, net stock issues, abnormal investment, asset growth, investment-to-assets,...
Persistent link: https://www.econbiz.de/10008628460
Fama and French (2002) estimate the equity premium using dividend growth rates to measure the expected rate of capital gain. We use similar methods to study the value premium. From 1941 to 2002, the expected HML return is on average 5.1% per annum, consisting of an expected-dividend-growth...
Persistent link: https://www.econbiz.de/10005049913
This paper asks whether the asset pricing fluctuations induced by the presence of costly external finance are empirically plausible. To accomplish this, we incorporate costly external finance into a dynamic stochastic general equilibrium model and explore its implications for the properties of...
Persistent link: https://www.econbiz.de/10012714952
I investigate the economic determinants of risk and expected return within a neoclassic framework of industry equilibrium augmented with capital investment and aggregate uncertainty. Due to asymmetry in capital adjustment cost, assets-in-place is much riskier than growth option in bad times and...
Persistent link: https://www.econbiz.de/10012722054
Yes! We study the time-varying risk patterns of value and growth stocks across business cycles. We find that the conditional market betas of value stocks covary positively with the expected market risk premium, and that value stocks are riskier than growth stocks in bad times when the expected...
Persistent link: https://www.econbiz.de/10012722064
The value anomaly arises naturally within the neoclassic, rational expectations framework with competitive equilibrium. Costly reversibility and countercyclical price of risk cause assets in place to be much harder to adjust downward, and hence riskier, than growth options, especially in bad...
Persistent link: https://www.econbiz.de/10012767720
We incorporate costly external finance in a production based asset pricing model and investigate whether financing frictions are quantitatively important for pricing a cross-section of expected returns. We show that the common assumptions about the nature of the financing frictions are captured...
Persistent link: https://www.econbiz.de/10005497817
Value stocks are more exposed to disaster risk than growth stocks. Embedding disasters into an investment-based asset pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in explaining the value premium in finite samples in...
Persistent link: https://www.econbiz.de/10011201883
Motivated from investment-based asset pricing, we propose a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor. The new model [i] outperforms the Carhart (1997) four-factor model in pricing portfolios formed on earnings...
Persistent link: https://www.econbiz.de/10010838901
Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model in pricing portfolios formed on earnings surprise,...
Persistent link: https://www.econbiz.de/10010951307