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Testing international asset pricing models using implied costs of capital

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An international dynamic asset pricing model

Hodrick, Robert J.; Ng, David Tat-chee; Sengmueller, Paul - In: International tax and public finance 6 (1999) 4, pp. 597-620

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An international dynamic asset pricing model

Hodrick, Robert J.; Ng, David Tat-chee; Sengmueller, Paul - 1999

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Predicting market returns using aggregate implied cost of capital

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Institutional ownership and return predictability across economically unrelated stocks

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Temperature shocks and industry earnings news

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Conditional skewness of aggregate market returns

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Earnings Manipulation and Expected Returns

Beneish, Messod D. - 2014

An accounting-based earnings manipulation detection model has strong out-of-sample power to predict cross-sectional returns. Companies with a higher probability of manipulation (M-score) earn lower returns on every decile portfolio sorted by size, book-to-market, momentum, accruals, and short...

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Fraud Detection and Expected Returns

Beneish, Messod D. - 2014

An accounting-based model has strong out-of-sample power not only to detect fraud, but also to predict cross-sectional returns. Firms with a higher probability of manipulation (MSCORE) earn lower returns in every decile portfolio sorted by: Size, Book-to-Market, Momentum, Accruals, and...

Persistent link: https://www.econbiz.de/10013066697