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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
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Connecting expected stock returns to accounting valuation multiples : a primer
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - 2021
) correct for the use of stale accounting data in estimation, and 3) accommodate differences in information quality. This …
Persistent link: https://www.econbiz.de/10012511896
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Speculative Stock Price and Inadequacy of the Implied Cost of Capital as a Proxy for Expected Return
Fong, Robert - 2020
The implied cost of capital (ICC), the internal rate of return that equates speculative stock price to discounted expected future dividends, includes a mispricing-driven component in addition to expected return. The estimated relation of a mispricing-associated factor (X) with ICC is thus a...
Persistent link: https://www.econbiz.de/10012839261
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The cross section of expected holding period returns and their dynamics : a present value approach
Lyle, Matthew R.; Wang, Charles C. Y. - In: Journal of financial economics 116 (2015) 3, pp. 505-525
Persistent link: https://www.econbiz.de/10011348465
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The impact of investor sentiment on returns, cash flows, discount rates, and performance
Ur Rehman, Muhammad Ateeq - In: Borsa Istanbul Review 22 (2022) 2, pp. 352-362
Investor sentiment is believed to play an increasingly significant role in business and economic activities. By analyzing data collected from a sample of listed nonfinancial firms in Pakistan for the period 2009-2018, we quantify investor behavior and how it affects market returns, cash flows,...
Persistent link: https://www.econbiz.de/10013184296
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CAPM and DCF : Does SML Relationship Gives Cost of Equity? – Ex-Ante Stock Returns are Not Same as Implied Discount Rates
Murugesan, Narayanaswamy - 2013
When Capital Asset pricing Model (CAPM) is considered as valid asset pricing theory, Security Market Line (SML) is … cost of equity (discount rates) in efficient markets, SML relationship is used for deriving cost of equity. Similarly, SML … returns need not be same as implied discount rates even when CAPM is applicable and markets are efficient. This is because the …
Persistent link: https://www.econbiz.de/10013081162
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Disclosure Processing Costs, Investors’ Information Choice, and Equity Market Outcomes : A Review
Blankespoor, Elizabeth - 2020
empirical literature on sources of processing costs and how these costs affect equity market outcomes, primarily within rational …
Persistent link: https://www.econbiz.de/10012847855
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Asset Pricing Under Prior-Induced Beta Uncertainty
Hu, Shuting (Sophia) - 2018
We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...
Persistent link: https://www.econbiz.de/10012935196
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Accounting-Based Valuation and Predictability of Stock Market Returns : A Re-Examination
Fang, Jing - 2019
the intrinsic value of equity is essential to the success of the accounting valuation-based predictor in predicting future …
Persistent link: https://www.econbiz.de/10014103309