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When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?

Kozak, Serhiy; Nagel, Stefan - National Bureau of Economic Research - 2023

When expected returns are linear in asset characteristics, the stochastic discount factor (SDF) that prices individual stocks can be represented as a factor model with GLS cross-sectional regression slope factors. Factors constructed heuristically by aggregating individual stocks into...

Persistent link: https://www.econbiz.de/10014287376

Are Stock Prices Driven by Expected Growth Rather than Discount Rates? Evidence Based on the COVID-19 Crisis

Böni, Pascal; Zimmermann, Heinz - 2023

We use the Gordon (Rev Econ Stat 41(2):99-105, 1959) constant growth model to gauge the effects from innovations in implied growth versus discount rates. During the COVID-19 downturn and the Global Financial Crisis (GFC), stock returns were largely affected by a change in the long-run implied...

Persistent link: https://www.econbiz.de/10014258301

A Mathematical Theory of Accounting and Discounted Cash Flows

Martin, Yoann - 2022

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 underlying future cash flows and their financing. This...

Persistent link: https://www.econbiz.de/10014258721

Resilience and Implied Discount Rates

Daadmehr, Elham - 2022

This paper studies the implied rate of return, in particular during COVID-19 to see whether and how it is affected by firms’ resilience. The research investigates the cross-sectional heterogeneity in discount rates based on resilience. Specifically, the novelty of the paper is to provide...

Persistent link: https://www.econbiz.de/10014030152

A mathematical theory of accounting and discounted cash flows

Martin, Yoann - 2022

Persistent link: https://www.econbiz.de/10013405726

Market Expectations in the Cross Section of Present Values

Kelly, Bryan T. - 2012

Returns and cash flow growth for the aggregate U.S. stock market are highly and robustly predictable. Using a single factor extracted from the cross section of book- to-market ratios, we find an out-of-sample return forecasting R-squared as high as 13% at the annual frequency (0.9% monthly). We...

Persistent link: https://www.econbiz.de/10013115268

Very Long-Run Discount Rates

Giglio, Stefano - 2014

leaseholds and freeholds reflects the present value of perpetual rental income starting at leasehold expiry, and is thus …

Persistent link: https://www.econbiz.de/10013062394

Dollar Bond, Foreign Discount and Exchange Rate Risk

Wang, Junxuan - 2023

In this paper, I examine the heterogeneous exposure of USD-denomination bonds (dollar bonds) to exchange rate risks. An appreciation of the US dollar increases the credit spread differential, referred to as the Foreign Discount, between dollar bonds issued by non-US and US firms. I provide both...

Persistent link: https://www.econbiz.de/10014257383

Superstar Uncertainty

Barnes, Spencer - 2020

Financial economists have long been interested in asset price uncertainty. Yet, causal estimates of price uncertainty are sparse. The art market, valued at $64 billion in 2019 and growing in financial importance, provides an opportunity to fill this gap. Specifically, this study examines the...

Persistent link: https://www.econbiz.de/10012822972

The Key to Long-Term Success : The Income Component of Returns

Institute, Brandes - 2015

seemed to belittle the importance of income as a component of returns, focusing primarily on the potential for capital gains …. In 2004, the Brandes Institute published “Examining the Income Component of Total Returns,” which analyzed public market … data as far back as 1926 to evaluate the impact income had on total returns. In the eight years since our original study …

Persistent link: https://www.econbiz.de/10013009910