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Cash-Flow Risks, Financial Leverage and the Cross Section of Equity Returns

Maia, Marcelo Verdini - 2010

What is the cross-sectional relationship between financial leverage and expected equity returns? How is the empirical relationship associated with firm's financial decisions? This paper investigates the potential explanations for the flatness relation between financial leverage and expected...

Persistent link: https://www.econbiz.de/10013139915

Stock Returns and the Miller-Modigliani Valuation Formula : Revisiting the Fama-French Analysis

Aharoni, Gil - 2012

AbstractFama and French (2006) use the dividend discount model to develop the joint role of three variables – expected profitability, expected investment and current BM – in predicting future stock returns. One reported empirical result is anomalous. The valuation model establishes that the...

Persistent link: https://www.econbiz.de/10013114983

Adaptive Economic Beliefs : An Equity Premium Puzzle Solution

Vanoverberghe, Didier - 2011

The Equity risk-premium and volatility puzzles: Is it possible to have a high-equity premium and a low risk-free rate, and a high volatile stock return, have received a great deal of attention but beyond this, the fundamental issues are the following: What are the economic representations that...

Persistent link: https://www.econbiz.de/10013123331

Investment Horizon Dependent CAPM : Adjusting Beta for Long-Term Dependence

León, Carlos - 2012

. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction … the CAPM's bias resulting from this abiding – but flawed – assumption. The proposed procedure is based on Greene and … Fielitz (1980) seminal work on the application of fractional Brownian motion to CAPM, and on a revised technique for …

Persistent link: https://www.econbiz.de/10013097627

What Explains the Distress Risk Puzzle : Death or Glory?

Conrad, Jennifer S. - 2012

Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have significantly low average future returns. We show that there is a large overlap between stocks classified as high default risk, and those that are likely to produce extremely high returns over the...

Persistent link: https://www.econbiz.de/10013109026

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 … returns need not be same as implied discount rates even when CAPM is applicable and markets are efficient. This is because the … over the forecast period. The single period return of CAPM changes every year as the market changes with economic …

Persistent link: https://www.econbiz.de/10013081162

Time-Varying Risk Premia for Size Effects on Equity REITs

Chang, Guangdi - 2013

We examine if the risk premia of the size effect on equity REITs (EREITs) are time-varying by using GARCH models. We also investigate how macroeconomic factors affect the size premia. We reexamine the size effect by using Fama-French three-factor model to demonstrate that the size effect exists...

Persistent link: https://www.econbiz.de/10013084485

Comparison of the Local and Global CAPM Estimates for Mexican Companies

Villarreal, Cuauhtemoc - 2014

rates, we ask if the required returns determined by the Local CAPM model and those determined by the Global CAPM model are … the Local CAPM is 13.83% while that of the Global CAPM is 20.38%. Our discovery that the estimated cost of capital for the …

Persistent link: https://www.econbiz.de/10013065192

A Comparison of Cost of Equity Estimates of Local and Global CAPM : Experience from a Developing Country, Mexico

Villarreal, Cuauhtemoc - 2014

Persistent link: https://www.econbiz.de/10013065193

Risk and Return Under Sharia Framework : An Attempt to Develop Sharia Compliant Asset Pricing Model-SCAPM

Hanif, Muhammad - 2014

the technical asset pricing models (CAPM, APT and multifactor models) based on behavior of stock market and macroeconomic … return because under Islamic financial system risk free return does not exist. Traditional CAPM is convertible into SCAPM by …

Persistent link: https://www.econbiz.de/10013068967