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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
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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
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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
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Dynamical internal cost of capital driven by cash flow growth
Solo, David; Sornette, Didier; Ulmann, Florian Michael Till - 2021
Based on the insight that risk exposure as quantified in the consumption based asset pricing model (CCAPM) is linearly proportional to the cash flow growth rate, we introduce a discounted cash flow model with a time-varying expected return structure matching the implicitly assumed risk exposure...
Persistent link: https://www.econbiz.de/10012487967
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Equilibrium asset pricing in directed networks
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - 2020
Directed links in cash flow networks a↵ect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary directed networks. First, shocks that can...
Persistent link: https://www.econbiz.de/10012303203
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Equilibrium asset pricing in directed networks
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - 2015
Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an asset's shock propagation capacity (spc). In the model, we prove: (i) Cash...
Persistent link: https://www.econbiz.de/10012061606
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Equilibrium asset pricing in directed networks
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - 2019
Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary directed networks. First, shocks that can propagate...
Persistent link: https://www.econbiz.de/10012111304
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Month-End Reporting, Cash-Flow News, and Asset Pricing
Hong, Claire Yurong - 2020
month-end reporting, even before the quarterly earnings announcement. Such cash-flow news concentrates at the beginning of a … month and affects company announcements, analyst revisions, and stock returns. Using this time variation in cash-flow news …, we show evidence supporting cash-flow news being more persistent than discount-rate news. Individual stock returns …
Persistent link: https://www.econbiz.de/10012824022
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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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Equilibrium asset pricing in directed networks
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - 2018
Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an asset's shock propagation capacity (spc). In the model, we prove: (i) Cash...
Persistent link: https://www.econbiz.de/10011900728