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Why are REITS Currently so Expensive?
Van Nieuwerburgh, Stijn - 2017
For the last several years, the price of listed real estate stocks has been unusually high relative to dividends. We explore whether low interest rates or low risk premia can account for the high valuation ratios and find that they cannot. Lower interest rates have been offset by rising risk...
Persistent link: https://www.econbiz.de/10012957559
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A new measure of equity duration : the duration-based explanation of the value premium revisited
Schröder, David; Esterer, Florian - 2012 - This version: February 29, 2012
This paper uses analysts' forecasts to estimate a share's equity duration, a measure of a company's average cash-flow … might be a compensation for the value firms' higher exposure to cash-flow risk. -- equity duration ; value premium … ; analysts' forecasts ; B/M ratio ; cashflow risk ; discount rate risk ; implied cost of capital …
Persistent link: https://www.econbiz.de/10009671858
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Cash-Flow Risks, Financial Leverage and the Cross Section of Equity Returns
Maia, Marcelo Verdini - 2010
firms have lower cash-flow beta and higher discount-rate beta than firms with high leverage. Although cash-flow beta …
Persistent link: https://www.econbiz.de/10013139915
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Consumption Strikes Back? Measuring Long-Run Risk
Hansen, Lars Peter - 2017
We characterize and measure a long-term risk-return trade-off for the valuation of cash flows exposed to fluctuations in macroeconomic growth. This trade-off features risk prices of cash flows that are realized far into the future but continue to be reflected in asset values. We apply this...
Persistent link: https://www.econbiz.de/10012962927
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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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Can Cash-Flow Beta Explain the Value Premium?
Zhou, Bo - 2018
minus overvalued) but is not significant in cheap junk minus expensive quality stocks. If cash-flow beta is the source of … the value premium, we would expect a larger cash-flow beta difference between the cheap quality and expensive junk … that the cash flow beta may only spuriously explain the value premium. Or, at least, the cash-flow risk premium estimated …
Persistent link: https://www.econbiz.de/10012911648
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Cash Flow and Risk Premium Dynamics in an Equilibrium Asset Pricing Model with Recursive Preferences
Doh, Taeyoung - 2015
Under linear approximations for asset prices and the assumption of independence between expected consumption growth and time-varying volatility, long-run risks models imply constant market prices of risks and often generate counterfactual results about asset return and cash flow predictability....
Persistent link: https://www.econbiz.de/10013011540
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Can reinvestment risk explain the dividend and bond term structures?
Gonçalves, Andrei S. - 2018 - This Version: January, 2018
The equity term structure is downward sloping at long maturities. I show, through an ICAPM estimation, that the tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly exposed to market risk, they are also good hedges for...
Persistent link: https://www.econbiz.de/10011963382
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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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Black's simple discounting rule
Loderer, Claudio; Long, John B.; Roth, Lukas - 2008 - Rev.
Persistent link: https://www.econbiz.de/10003842643