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CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio …
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I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics. This single equation is shown analytically...
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I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics. This single equation is shown analytically...
Persistent link: https://www.econbiz.de/10012467361
performance of issuing and cash-distributing firms, and the failure of the CAPM in explaining the long-term stock-price drifts …
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