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Analyst Interest as an Early Indicator of Firm Fundamental Changes and Stock Returns
Jung, Michael J. - 2017
We posit that a change in analyst interest in a firm is an early indicator of the firm's future fundamentals, capital market activities, and stock returns. We measure increases in analyst interest by observing analysts who do not cover a firm but participate in that firm's earnings conference...
Persistent link: https://www.econbiz.de/10012972900
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Analyst Interest as an Early Indicator of Firm Fundamental Changes and Stock Returns
Jung, Michael J. - 2017
We posit that a change in analyst interest in a firm is an early indicator of the firm's future fundamentals, capital market activities, and stock returns. We measure increases in analyst interest by observing analysts who do not cover a firm but participate in that firm's earnings conference...
Persistent link: https://www.econbiz.de/10012975251
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Generalized Makeham's Formula and Economic Profitability
Magni, Carlo Alberto - 2015
AVR, which has the same sign as the Net Present Value. This makes (i) AIR a more reliable tool for valuation and decision …This paper generalizes Makeham's formula, allowing for varying interest rates and for a non-flat structure of valuation … rates. An average interest rate (AIR) is introduced, as well as an average valuation rate (AVR), which exist and are unique …
Persistent link: https://www.econbiz.de/10013035016
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CAPM and DCF : Does SML Relationship Gives Cost of Equity? – Ex-Ante Stock Returns are Not Same as Implied Discount Rates
Murugesan, Narayanaswamy - 2013
illustrations: Valuation of a firm using DCF Model with time-varying discount rates and Past Valuation data of S&P 500 using DDM …
Persistent link: https://www.econbiz.de/10013081162
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A look at the actual cost of capital of US firms
Moore, David J. - In: Cogent economics & finance 4 (2016) 1, pp. 1-15
The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics as the weighted average cost of capital (WACC) equity component. This study introduces two new costs of equity measures to address CAPM criticisms and provide new perspective on...
Persistent link: https://www.econbiz.de/10011597398
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Private Capital : Expected Return and Risk, Asset Allocation
Verbiest, Eddy H. - 2022
Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...
Persistent link: https://www.econbiz.de/10014238291
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Cross-Section of asset returns : emerging markets and market integration
Ajrapetova, Tamara - In: European financial and accounting journal : EFAJ 13 (2018) 1, pp. 41-60
Asset pricing in its essence is a very controversial topic. Despite numerous research papers criticising traditional approaches, such as linear factor models, practitioners as well as academics repeatedly return to the milestone models such as the Capital Asset Pricing Model (CAPM), mainly due...
Persistent link: https://www.econbiz.de/10011887581
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Fundamental Anomalies
Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021
This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...
Persistent link: https://www.econbiz.de/10013245422
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Technical analysis accuracy at Macedonian Stock Exchange
Ivanovski, Zoran; Ivanovska, Nadica; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 8 (2017) 2, pp. 105-118
The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...
Persistent link: https://www.econbiz.de/10011780553
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Big data, accounting information, and valuation
Nissim, Doron - In: The Journal of finance and data science : JFDS 8 (2022), pp. 69-85
valuation. Given the huge volume of research in this area, the review focuses on studies that either use or inform on accounting …
Persistent link: https://www.econbiz.de/10014433769