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Valuation of Partially-Controlled Investments

Deng, Zhen; Sinha, Nishi - 2008

This paper contrasts the valuation of accounting numbers related to two classes of assets - the internally managed, fully-controlled assets versus the "significant influence" investments, that is, investments where the investing firm exercises influence, but not control, over the assets. We find...

Persistent link: https://www.econbiz.de/10014027787

Term Structures of Equity and Interest Rates in Time-Varying Expected Growth Models

Hasler, Michael - 2020

Equilibrium asset-pricing models with time-varying expected economic growth have been criticized for their apparent inability to generate an upward-sloping yield curve and downward-sloping term structures of equity risk and risk premium. We theoretically investigate the model-implied equilibrium...

Persistent link: https://www.econbiz.de/10012835344

Loss Aversion, Habit Formation and the Term Structures of Equity and Interest Rates

Curatola, Giuliano - 2014

I propose a consumption-based asset pricing model that jointly explains the high equity premium, the counter-cyclical behaviour of stock returns, the upward sloping term structure of interest rates and the downward sloping term structure of equity. The driving forces behind these results are...

Persistent link: https://www.econbiz.de/10013057031

Value or Growth? Pricing of Idiosyncratic Cash-Flow Risk with Heterogeneous Beliefs

Gallmeyer, Michael F. - 2015

that a value premium arises, as value stocks have higher idiosyncratic cash-flow volatilities, lower average cash flows …

Persistent link: https://www.econbiz.de/10013019887

Can Cash-Flow Beta Explain the Value Premium?

Zhou, Bo - 2018

minus overvalued) but is not significant in cheap junk minus expensive quality stocks. If cash-flow beta is the source of … the value premium, we would expect a larger cash-flow beta difference between the cheap quality and expensive junk … that the cash flow beta may only spuriously explain the value premium. Or, at least, the cash-flow risk premium estimated …

Persistent link: https://www.econbiz.de/10012911648

Real Cash Flow Expectations and Asset Prices

De la O, Ricardo; Myers, Sean - 2021

Using survey forecasts, we find that systematic errors in expectations of long-term inflation and short-term nominal earnings growth are the main driver of prices and return puzzles for bonds and stocks. We demonstrate this by deriving and testing a single necessary and sufficient condition...

Persistent link: https://www.econbiz.de/10013222433

Cash-Flow Risks, Financial Leverage and the Cross Section of Equity Returns

Maia, Marcelo Verdini - 2010

firms have lower cash-flow beta and higher discount-rate beta than firms with high leverage. Although cash-flow beta …

Persistent link: https://www.econbiz.de/10013139915

Cash-Flow or Discount-Rate Risk? Evidence from the Cross Section of Present Values

Chen, Bingxu - 2014

Realized returns comprise (ex-ante) expected returns plus (ex-post) innovations, and consequently both expected returns and returns innovations can be broken down into components reflecting fluctuations in cash flow (CF) and discount rate (DR). I use a present-value model to identify the CF and...

Persistent link: https://www.econbiz.de/10013061865

Long-run Cash Flow and Discount-Rate Risks in the Cross-section of US Returns

Koubouros, Michael; Malliaropulos, Dimitris; … - 2022

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock-specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton's intertemporal capital asset pricing model to test...

Persistent link: https://www.econbiz.de/10014236926

Valuation and investment profession

Dedi, Lidija; Giraudon, Philippe - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 93-100

Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...

Persistent link: https://www.econbiz.de/10009787042