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Creative destruction and asset prices
Grammig, Joachim; Jank, Stephan - 2013
We relate Schumpeter's notion of creative destruction to asset pricing, thereby offering a novel explanation of size and value premia. We argue that small-value firms are more likely to be destroyed by serendipitous invention activity, and investors demand higher expected returns for bearing...
Persistent link: https://www.econbiz.de/10010128421
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Creative destruction and asset prices
Grammig, Joachim; Jank, Stephan - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 6, pp. 1739-1768
Persistent link: https://www.econbiz.de/10011654670
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Innovative Originality, Profitability, and Stock Returns
Hirshleifer, David A. - 2020
We propose that innovative originality is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, greater innovative originality may be undervalued. We find that firms' innovative originality strongly predicts higher, more persistent, and...
Persistent link: https://www.econbiz.de/10012857235
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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Quantitative forecast model for the application of the Black-Litterman approach
Becker, Franziska; Gürtler, Marc - 2008 - This Version: 2010-11-10
The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz … context we present how analysts' dividend forecasts can be used to determine an a-priori-estimation of the expected returns …
Persistent link: https://www.econbiz.de/10009487257
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …
Persistent link: https://www.econbiz.de/10009535779
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Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence
Kuo, Chris - 2011
Firm size is an essential factor in examining the relation between returns and idiosyncratic volatilities. This paper documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is statistically significant in explaining the future...
Persistent link: https://www.econbiz.de/10013117807
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Beta Estimation with Stock Return Outliers : The Case of U.S. Pharmaceutical Companies
Theodossiou, Alexandra K. - 2009
Efficient estimation of the equity cost of public corporations is an essential component of computing the required rate … relies on the CAPM model to define the return risk premium, and the OLS method to estimate the beta risk coefficient required … verified on a sample of U.S. pharmaceutical companies by comparing the OLS estimation performance with that of our proposed …
Persistent link: https://www.econbiz.de/10013159450
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Illiquidity and the cost of equity capital : evidence from actual estimates of capital cost for U.S. data
Goyal, Amit; Subrahmanyam, Avanidhar; Swaminathan, Bhaskaran - 2021
Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002) measure of illiquidity is negatively related to CoC...
Persistent link: https://www.econbiz.de/10012800436
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Growth in Average Firm Size of U.S. Industrial Portfolios and the Cross-Section of Expected Returns
Grobys, Klaus - 2018
This paper shows that growth in average firm size in U.S. industrial portfolios predicts future growth in average firm size. Moreover, the payoffs of industrial portfolios sorted by growth in average firm size in the previous period increase linearly as we move from lowest to highest growth in...
Persistent link: https://www.econbiz.de/10012920614