Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10011634680
Persistent link: https://www.econbiz.de/10011770823
A new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real investment for individual firms. Conceptually as "causal"' as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a leading asset pricing paradigm. Firms do a good job in...
Persistent link: https://www.econbiz.de/10012455455
The investment CAPM provides an economic foundation for Graham and Dodd's (1934) Security Analysis. Expected returns vary cross-sectionally, depending on firms' investment, profitability, and expected investment growth. Empirically, many anomaly variables predict future changes in...
Persistent link: https://www.econbiz.de/10012952503
A new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real investment for individual firms. Conceptually as "causal"' as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a leading asset pricing paradigm. Firms do a good job in...
Persistent link: https://www.econbiz.de/10012960790
Two innovations in the structural investment model go a long way in explaining value and momentum jointly. Firm-level investment returns are constructed from firm-level accounting variables, and are then aggregated to the portfolio level to match with portfolio-level stock returns. In addition,...
Persistent link: https://www.econbiz.de/10012946021
A new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real investment for individual firms. Conceptually as ‘causal' as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a leading asset pricing paradigm. Firms do a good job in...
Persistent link: https://www.econbiz.de/10012930661
Persistent link: https://www.econbiz.de/10011701512
The investment CAPM provides an economic foundation for Graham and Dodd's (1934) Security Analysis, without mispricing. Expected returns vary cross-sectionally, depending on firms' investment, expected profitability, and expected investment growth. Our economic model also offers an appealing...
Persistent link: https://www.econbiz.de/10011968834
A new class of Capital Asset Pricing Models arises from the first principle of real investment for individual firms. Conceptually as “causal” as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a leading asset pricing paradigm. Firms do a good job in...
Persistent link: https://www.econbiz.de/10011772360