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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
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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 … 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
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A corporate financing-based asset pricing model
Steri, Roberto - 2018
I show that an asset pricing model for the equity claims of a value-maximizing firm can be constructed from its optimal financial contracting behavior. I study a dynamic contracting model in which firms trade off the costs and benefits of a given promise to pay external lenders in a specific...
Persistent link: https://www.econbiz.de/10011900221
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Private Capital : Expected Return and Risk, Asset Allocation
Verbiest, Eddy H. - 2022
Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...
Persistent link: https://www.econbiz.de/10014238291
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Anomalies
Li, Erica X. N. - 2010
We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and … performance of issuing and cash-distributing firms, and the failure of the CAPM in explaining the long-term stock-price drifts …
Persistent link: https://www.econbiz.de/10013149934
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Risk Class Completion of the Modigliani and Miller Model – A New Framework for Discounted Cash Flow
Casey, Christopher - 2016
original Modigliani and Miller model. By doing so, the model becomes a challenger of current DCF theory …
Persistent link: https://www.econbiz.de/10012995722
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Is the Growth-Value Anomaly Related to the Asset Growth Anomaly?
Kot, Hung Wan - 2017
It is well known that the market-to-book equity ratio and total asset growth are negatively associated with future stock returns. Much less known is that the predictabilities are related through the mispricing channel. We show that the growth-value anomaly is governed by ex-ante total asset...
Persistent link: https://www.econbiz.de/10012964451
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CAPM и Диверсификация Инвестиционного Портфеля в Условиях Неоднородной Волатильности (CAPM and Diversification of an Investment Portfolio in the Conditions of Non-Uniform Volatilit...
Minasyan, Vigen Babkenovich - 2015
The theory of cost of capital (long-term) assets [Sharpe, 1964, Lintner, 1965, Mossin, 1966] based on G. Markovits … is substantially uniform concerning risks of the assets addressing on it. However this theory doesn't assume possibility … changes, the basic theory isn't capable in such conditions to give an objective assessment of assets. At the same time …
Persistent link: https://www.econbiz.de/10013025979
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Is the Growth-Value Anomaly Related to the Asset Growth Anomaly?
Kot, Hung Wan - 2016
It is well known that the market-to-book equity ratio and total asset growth are negatively associated with future stock returns. Much less known is that the predictabilities are related through the mispricing channel. We show that the growth-value anomaly is governed by ex-ante total asset...
Persistent link: https://www.econbiz.de/10012982614
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A Value Premium Without Operating Leverage
Guthrie, Graeme - 2012
The existing real options literature explains the value premium as a consequence of either operating leverage raising risk in low-demand states or industry-wide investment lowering risk in high-demand states. This paper presents a simple model in which a value premium arises solely from capacity...
Persistent link: https://www.econbiz.de/10013104370