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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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Connecting expected stock returns to accounting valuation multiples : a primer
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - 2021
) correct for the use of stale accounting data in estimation, and 3) accommodate differences in information quality. This …
Persistent link: https://www.econbiz.de/10012511896
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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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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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Disclosure Processing Costs, Investors’ Information Choice, and Equity Market Outcomes : A Review
Blankespoor, Elizabeth - 2020
empirical literature on sources of processing costs and how these costs affect equity market outcomes, primarily within rational …
Persistent link: https://www.econbiz.de/10012847855
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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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Asset Pricing Under Prior-Induced Beta Uncertainty
Hu, Shuting (Sophia) - 2018
We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...
Persistent link: https://www.econbiz.de/10012935196
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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