We examine six accounting-based stock price anomalies using two sets of tests to determine the extent to which the anomalies (a) represent market mispricing, or (b) reflect premia for unidentified risks. Market mispricing is indicated if the anomalous returns are concentrated around subsequent...

The returns earned by US stocks since 1926 have generated an quot;equity premium puzzlequot;, since they exceed estimates derived from theory, from other periods and markets, and from surveys of investors. To determine if this historic estimate is biased upward, we offer a new approach based on...

We offer ex ante estimates of the equity risk premium based on forecasted accounting numbers. Although our approach is isomorphic to dividend growth models, it generates various diagnostics that help to narrow the range of reasonable assumed growth rates. Our results, based on IBES consensus...

We examine the valuation performance of a comprehensive list of pricing multiples. We find that multiples derived from forward earnings explain stock prices remarkably well for most firms: pricing errors are within 15 percent of stock prices for about half of our sample. In terms of relative...

We investigate the joint hypothesis that a) tax expense contains information about core profitability that is incremental to reported earnings and b) that information is reflected in stock prices with a delay. We find that seasonally-differenced quarterly tax expense, our proxy for tax expense...