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Risk-Free Discount Rates and Stock Returns
Griskaite, Aurelija; Lueg, Rainer - 2023
This research examines the ability of Earnings less Risk-free Interest Charge (ERIC) to predict stock returns. We find that that earnings, cash flow, and total income are more strongly associated with stock returns than ERIC or residual income. In conclusion, our research suggests that mandatory...
Persistent link: https://www.econbiz.de/10014255447
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The Profitability Premium : Macroeconomic Risks or Expectation Errors?
Lam, FY Eric - 2020
Macroeconomic risks only partially capture the profitability premium, while adding a misvaluation factor based on … investor sentiment helps explain a substantial amount of it. The profitability premium mainly exists in firms whose market … valuations are inconsistent with their profitability and therefore subject to ex-ante expectation errors during high sentiment …
Persistent link: https://www.econbiz.de/10012855740
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The Profitability Premium : Macroeconomic Risks or Expectation Errors?
Lam, FY Eric - 2020
Macroeconomic risks only partially capture the profitability premium, while adding a misvaluation factor based on … investor sentiment helps explain a substantial amount of it. The profitability premium mainly exists in firms whose market … valuations are inconsistent with their profitability and therefore subject to ex-ante expectation errors during high sentiment …
Persistent link: https://www.econbiz.de/10012856586
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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 maturity. We find that short duration equity is associated with high expected and realized returns, which cannot be attributed to the shares' systematic risk exposure as implied...
Persistent link: https://www.econbiz.de/10009671858
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Non-diversifiable volatility risk and risk premiums at earnings announcements
Barth, Mary E.; So, Eric - 2013
This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return volatility and pay a premium to hedge this non-diversifiable...
Persistent link: https://www.econbiz.de/10010205852
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Decomposing the Value Premium : The Role of Intangible Information in the Chinese Stock Market
Ho, Kin-Yip - 2020
Compared with other developed stock markets, the Chinese stock market has a unique informational and trading environment. Given this unique environment, we find that intangible information (which is orthogonal to past accounting information) and arbitrage risk are potential sources of the value...
Persistent link: https://www.econbiz.de/10012854164
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(Il)liquidity Premium in Credit Markets : A Myth?
Palhares, Diogo - 2018
Across multiple measures of “liquidity” and a variety of methods to control for correlated characteristics of more (less) liquid bonds, we find only limited evidence of a liquidity premium in the cross section of corporate bonds. Specifically, while illiquid bonds have slightly higher credit...
Persistent link: https://www.econbiz.de/10012926517
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What Drives the Liquidity Premium in the Chinese Stock Market?
An, Jiyoun - 2020
This paper examines the dynamics of the liquidity premium in the Chinese stock market by adopting a multivariate decomposition approach to measure the individual contributions of various driving forces of the premium (such as firm size, idiosyncratic volatility, and market liquidity betas). By...
Persistent link: https://www.econbiz.de/10012832286
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Estimating Firm-Specific Implied Risk Premium
Wang, Pengguo - 2017
This paper proposes a new approach to infer a firm-specific measure of the implied cost of capital. It incorporates endogenously estimated industry-year growth rate of the net present value of future investments. It requires only one-year-ahead forecasts of earnings, and dividend payout policy...
Persistent link: https://www.econbiz.de/10012972635
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The Implied Risk Premium and Firm Risk Characteristics
Wang, Pengguo - 2016
This paper proposes a new approach to infer a firm-specific measure of the implied cost of capital. It incorporates endogenously estimated industry-year growth rate of the net present value of future investments. It requires only one-year-ahead forecasts of earnings, and dividend payout policy...
Persistent link: https://www.econbiz.de/10013007706