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Which Measure of Aggregate Implied Cost of Capital Predicts Equity Market Returns?

Cooper, Ian A. - 2016

We investigate the relative ability of two measures of the market implied cost of capital to predict aggregate equity market returns. One is Aggregate ICC, which is a weighted average of individual firms' ICC's. The other is ICC calculated using index information (Index ICC). Index ICC predicts...

Persistent link: https://www.econbiz.de/10012991578

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

Learning about risk-factor exposures from earnings : implications for asset pricing and manipulation

Beyer, Anne; Smith, Kevin - In: Journal of accounting & economics 72 (2021) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10013203478

Essays on the implied cost of capital with applications to asset pricing and corporate finance

Bielstein, Patrick Frank Kurt - 2017

Persistent link: https://www.econbiz.de/10012795130

Predicting market returns using aggregate implied cost of capital

Li, Yan; Ng, David Tat-chee; Swaminathan, Bhaskaran - In: Journal of financial economics 110 (2013) 2, pp. 419-436

Persistent link: https://www.econbiz.de/10010208662

Expected stock returns worldwide : a log-linear present-value approach

Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charley C. Y. - 2018

We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...

Persistent link: https://www.econbiz.de/10011931329

Firm characteristics, consumption risk, and firm-level risk exposures

Dittmar, Robert F.; Lundblad, Christian - In: Journal of financial economics 125 (2017) 2, pp. 326-343

Persistent link: https://www.econbiz.de/10011751743

Dividend change announcements, ROE, and the cost of equity capital

Dempsey, Stephen J.; Sheng, Hainan - In: International review of financial analysis 86 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014248421

Validating implied cost of capital with realized returns by using alternative measures of cash-flow news

Ketterer, Simeon; Dionysiou, Dionysia; Eierle, Brigitte; … - In: The British accounting review : the journal of the … 55 (2023) 6, pp. 1-24

Persistent link: https://www.econbiz.de/10014458954

Information risk, cost of equity and stock returns : evidence from Iranian firms

Abdollahi, Ahmad; Gerayli, Mehdi Safari; Pitenoei, … - In: Journal of financial reporting & accounting : JFRA 21 (2023) 2, pp. 370-383

Persistent link: https://www.econbiz.de/10014304859