Using a new variable based on a model of dividend smoothing, we find dividend growth is highly predictable and cash flow news contributes importantly to return variability. Cash flow betas derived from this predictability are central to explaining the size effect in the cross section of returns....

In my paper, I have managed to achieve full convergence of the results of valuation executed by four methods (CCF, APV, DCF and CFE), provided that cash flow is generated throughout the year (Mid-Year Convention). I have shown that convergence among all methods can be achieved whether we use the...

Необходимость модернизации национального банковского сектора требует созда-ния системы устойчивого развития банков в России. В настоящее время существующие...

This paper intends to highlight a framework for valuating companies using the Discounted Cash Flow (DCF) model. This framework is a culmination of time spent at the AGSM, previous academic research on valuations and industry mentorship by various mentors/advisors in the financial services sector

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a...

We develop an intertemporal asset pricing model where cash flow news, discount rate news, and their second moments are priced by the market. This model generalizes the market return decomposition framework, showing that intertemporal considerations imply a decomposition of squared market returns...

The relative contributions of cash flow and discount rate news to the conditional variance of market returns exhibit significant variation over time. We identify lagged changes in PPI inflation as the main macroeconomic determinant of this time variation. Cash flow betas of value stocks increase...

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...