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Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing
Kalev, Petko S. - 2019
We develop an intertemporal asset pricing model where cash flow news, discount rate news, and their second moments are priced by the market. This model generalizes the market return decomposition framework, showing that intertemporal considerations imply a decomposition of squared market returns...
Persistent link: https://www.econbiz.de/10012901111
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Coskewness risk decomposition, covariation risk, and intertemporal asset pricing
Kalev, Petko S.; Saxena, Konark; Zolotoy, Leon - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 1, pp. 335-368
Persistent link: https://www.econbiz.de/10012128917
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Time variation in cash flows and discount rates
Cenesizoglu, Tolga; Ibrushi, Denada - In: Journal of financial econometrics 21 (2023) 5, pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
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A parsimonious analytically specified general equilibrium structure that spans discount rates
Obrimah, Oghenovo Adewale - In: Finance research letters 62 (2024) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10014531158
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DCF-valuations of companies in crisis : distress-related leverage, identification of risk positions, discounting techniques, and "beta flips"
Meitner, Matthias; Streitferdt, Felix G. - In: Journal of business valuation and economic loss analysis 9 (2014) 1, pp. 145-174
Persistent link: https://www.econbiz.de/10010398903
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Foreign currency returns and systematic risks
Galsband, Victoria; Nitschka, Thomas - 2011
Persistent link: https://www.econbiz.de/10009229459
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Back to fundamentals : the role of expected cash flows in equity valuation
Foerster, Stephen Robert; Sapp, Stephen G. - In: The North American journal of economics and finance : a … 22 (2011) 3, pp. 320-343
Persistent link: https://www.econbiz.de/10009427377
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Equivalent valuations in cash flow and accounting models
Sweeney, Richard J. - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 29-49
Persistent link: https://www.econbiz.de/10010345147
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Valuation with risk-neutral probabilities : attempts to quantify Q
Richter, Frank; Timmreck, Christian - 2002
Persistent link: https://www.econbiz.de/10001728503
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Project valuation when there are two cashflow streams; SNF project no. 7220: "Gassmarkeder, menneskelig kapital og selskapsstrategier"
Emhjellen, Magne (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10001701874