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Expected stock returns worldwide : a log-linear present-value approach
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - In: The accounting review : a publication of the American … 97 (2022) 2, pp. 107-133
Persistent link: https://www.econbiz.de/10013198687
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Speculative Stock Price and Inadequacy of the Implied Cost of Capital as a Proxy for Expected Return
Fong, Robert - 2020
The implied cost of capital (ICC), the internal rate of return that equates speculative stock price to discounted expected future dividends, includes a mispricing-driven component in addition to expected return. The estimated relation of a mispricing-associated factor (X) with ICC is thus a...
Persistent link: https://www.econbiz.de/10012839261
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The cross section of expected holding period returns and their dynamics : a present value approach
Lyle, Matthew R.; Wang, Charles C. Y. - In: Journal of financial economics 116 (2015) 3, pp. 505-525
Persistent link: https://www.econbiz.de/10011348465
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The impact of investor sentiment on returns, cash flows, discount rates, and performance
Ur Rehman, Muhammad Ateeq - In: Borsa Istanbul Review 22 (2022) 2, pp. 352-362
Investor sentiment is believed to play an increasingly significant role in business and economic activities. By analyzing data collected from a sample of listed nonfinancial firms in Pakistan for the period 2009-2018, we quantify investor behavior and how it affects market returns, cash flows,...
Persistent link: https://www.econbiz.de/10013184296
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CAPM and DCF : Does SML Relationship Gives Cost of Equity? – Ex-Ante Stock Returns are Not Same as Implied Discount Rates
Murugesan, Narayanaswamy - 2013
When Capital Asset pricing Model (CAPM) is considered as valid asset pricing theory, Security Market Line (SML) is … cost of equity (discount rates) in efficient markets, SML relationship is used for deriving cost of equity. Similarly, SML … returns need not be same as implied discount rates even when CAPM is applicable and markets are efficient. This is because the …
Persistent link: https://www.econbiz.de/10013081162
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Accounting-Based Valuation and Predictability of Stock Market Returns : A Re-Examination
Fang, Jing - 2019
the intrinsic value of equity is essential to the success of the accounting valuation-based predictor in predicting future …
Persistent link: https://www.econbiz.de/10014103309
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Which Measure of Aggregate Implied Cost of Capital Predicts Equity Market Returns?
Cooper, Ian A. - 2016
We investigate the relative ability of two measures of the market implied cost of capital to predict aggregate equity …
Persistent link: https://www.econbiz.de/10012991578
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The impact of investor sentiment on the German stock market
Finter, Philipp; Niessen-Ruenzi, Alexandra; Ruenzi, Stefan - 2010
This paper investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known sentiment proxies. We show that this indicator explains the return...
Persistent link: https://www.econbiz.de/10008666530