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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

Connecting expected stock returns to accounting valuation multiples : a primer

Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - 2021

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...

Persistent link: https://www.econbiz.de/10012511896

Noise and Deficiency of the Implied Cost of Capital as an Expected Return Proxy

Cheng, Agnes; Fang, Jing - 2022

Because stock price generally deviates from the intrinsic value, stock price is a noisy indicator of the intrinsic value. As an expected return proxy, the implied cost of capital (ICC)—the internal rate of return that equates the noisy stock price to discounted expected future dividends—thus...

Persistent link: https://www.econbiz.de/10014361606

Cash flow and discount rate risk in up and down markets : what is actually priced?

Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010

decomposition, distinguishing cash flow and discount rate betas in up and down markets. Using CRSP data over 1963--2008, we find …

Persistent link: https://www.econbiz.de/10011382429

Is there Momentum in Factor Premia? Evidence from International Equity Markets

Zaremba, Adam - 2019

, momentum, low-risk, and quality premia within a sample of 24 international equity markets for the years 1990–2016. We provide … strong evidence that the top performing factors continue to outperform the worst performing factors both in individual equity … markets and in the cross-country framework. The momentum in factor premia is largely explained by the classic stock …

Persistent link: https://www.econbiz.de/10012893036

A forecast evaluation of expected equity return measures

Chin, Michael; Polk, Christopher - 2015

Persistent link: https://www.econbiz.de/10010497568

Implied rates of return, the discount rate effect, and market risk premia

Breuer, Wolfgang; Gürtler, Marc - 2010 - This Version: 2010-10-22

; equity premium puzzle ; implied rate of return …

Persistent link: https://www.econbiz.de/10009487229

Stock Extreme Illiquidity and the Cost of Capital

Belkhir, Mohamed - 2018

basis points in the cost of equity. The reported evidence for stock extreme illiquidity is independent of the systematic … stronger in periods of down markets and high volatility and is weaker in environments with better information quality and …

Persistent link: https://www.econbiz.de/10012922232

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

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