Efficient estimation of the equity cost of public corporations is an essential component of computing the required rate of return of real investment projects, and therefore the basis for a rational investment policy. The accepted methodology relies on the CAPM model to define the return risk...

Understanding the factors that drive the stock market is more than an academic exercise. With a framework to understanding what that drives the overall market, business leaders are positioned to drive value their own businesses. While driving increases in shareholder value is one of the most...

We outline a framework in which accounting “valuation anchors" could be connected to expected stock returns. Under two general conditions, expected log returns is a log- linear function of a valuation (market value-to-accounting) multiple and the expected growth in the valuation anchor. We...

Return anomalies are most pronounced among distressed stocks. We attribute this finding to the role of misvaluation and investors' inability to value distressed stocks correctly. We treat distressed stocks as options and construct a valuation model that explicitly takes into account the value of...

The same firm characteristics that help explain cross-sectional variation in expected stock returns, such as size, book-to-market and the earnings yield, also help explain cross-sectional variation in returns to trading in option-implied stock return volatility. This empirical phenomenon is...

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is composed by the risk-free rate, equity market return and each respective beta. However, there is a fundamental complication between the risk, cost and return for the equity...

The Black’s leverage effect hypothesis postulates that a negative stock return innovation increases the financial leverage of a firm since the value of equity decreases at a given level of debt, which, in turn, creates a higher equity return volatility in the future. The paper is aimed at...

We show that the magnitude of the value premium over 1968-2018 is conditional on states of aggregate market-wide misvaluation. The value premium is 3.42% per month following market-wide undervaluation and 1.70% per month following market-wide overvaluation. When the aggregate market is neither...

Chapter 1. Introduction -- Part 1. Debating ESG Financial Topics -- Chapter 2. Sustainability literature orientation: Evidence from finance academic research -- Chapter 3. First assessment of EU Taxonomy regulation for Italian banks -- Chapter 4. Sustainable finance: A Quest for Value from ICO...