Our paper studies the impacts of the Dieselgate scandal on the required rate of return on equity investments into VW, Daimler, and BMW. The object of investigation is the beta coefficient that determines the risk premium in the Capital Asset Pricing Model (CAPM). Our research takes a deep dive...

I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics. This single equation is shown analytically...

This study examines if the change in aggregate Tobin's q ratio (∆TBQ) can dynamically forecast return on the S&P 500 (SP). The VAR results from analyzing quarterly data from 1951Q4 to 2012Q4 show that the response of SP to ∆TBQ shock becomes significantly positive immediately. The...

I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics. This single equation is shown analytically...