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This paper develops a novel theory of accounting, in the form of a quantitative language, capable of reformulating …, generalizing, and studying the discounted cash flow model, in plain accounting terms - going through the reformulation of the … intrinsically tied to the shape of the fundamental accounting entries, describing the economic activities conducted by companies …
Persistent link: https://www.econbiz.de/10013405726
This paper develops a novel theory of accounting, in the form of a quantitative language, capable of reformulating …, generalizing, and studying the discounted cash flow model, in plain accounting terms - going through the reformulation of the … intrinsically tied to the shape of the fundamental accounting entries, describing the economic activities conducted by companies …
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The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets' discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that...
Persistent link: https://www.econbiz.de/10013132049
We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns both in the cross section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow...
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