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Cash-Flow Risk, Discount Risk, and the Value Premium
Santos, Tano - 2006
value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …
Persistent link: https://www.econbiz.de/10012783344
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Cash-Flow Risk, Discount Risk, and the Value Premium
Santos, Tano - 2005
value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …
Persistent link: https://www.econbiz.de/10012466855
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Cash flow and discount rate risk in the investment effect : a downside risk approach
Yamani, Ehab; Rakowski, David - In: The quarterly journal of finance 8 (2018) 3, pp. 1-40
Persistent link: https://www.econbiz.de/10011922022
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Essays on empirical asset pricing
Verbeek, Roy - 2017
Persistent link: https://www.econbiz.de/10011863839
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Risk is not sufficient to generate a return on investment
Jansen, Benjamin - 2024 - This draft: 03/05/2024
Persistent link: https://www.econbiz.de/10015051475
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Does idiosyncratic volatility proxy for risk exposure?
Chen, Zhanhui; Petkova, Ralitsa - In: The review of financial studies 25 (2012) 9, pp. 2745-2787
Persistent link: https://www.econbiz.de/10009630197
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What drives firms' hiring decisions? : an asset pricing perspective
Belo, Frederico; Donangelo, Andrés; Lin, Xiaoji; Luo, Ding - In: The review of financial studies 36 (2023) 9, pp. 3825-3860
Persistent link: https://www.econbiz.de/10014331558
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Semivariance decomposition of country-level returns
Beach, Steven L. - In: International review of economics & finance : IREF 20 (2011) 4, pp. 607-623
Persistent link: https://www.econbiz.de/10009303913
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What drives firm-level stock returns?
Vuolteenaho, Tuomo - 2001
Persistent link: https://www.econbiz.de/10001578203
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What drives firm-level stock returns?
Vuolteenaho, Tuomo - In: The journal of finance : the journal of the American … 57 (2002) 1, pp. 233-264
Persistent link: https://www.econbiz.de/10001650379