Similar Search Results

A Practitioner’s Guide to the CAPM : An Empirical Study

French, Jordan - 2018

The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate …? This research looks at the out of sample forecasting capabilities of three popular CAPM ex-post constant beta models from … the pricing, contrary to popular studies that use five to ten years of historical data. There are many different CAPM …

Persistent link: https://www.econbiz.de/10012907773

A practitioner's guide to the CAPM : an empirical study

French, Jordan - In: Research in finance 34 (2018), pp. 1-18

Persistent link: https://www.econbiz.de/10011956412

Bottom-up versus top-down factor investing : an alpha forecasting perspective

Zurek, Martin; Heinrich, Lars - In: The journal of asset management : a major new, … 22 (2021) 1, pp. 11-29

Persistent link: https://www.econbiz.de/10012487578

A Practitioner’s Guide to the CAPM: An Empirical Study

French, Jordan - In: Global tensions in financial markets, (pp. 1-18). 2018

The most popular method for calculating asset prices is the Capital Asset Pricing Model (CAPM). What is the appropriate …? This research looks at the out-of-sample forecasting capabilities of three popular CAPM ex-post constant beta models from … the pricing, contrary to popular studies that use 5 to 10 years of historical data. There are many different CAPM studies …

Persistent link: https://www.econbiz.de/10015093893

The impact of analyst forecast errors on fundamental indexation : the Australian evidence

Casavecchia, Lorenzo; Hambusch, Gerhard; Hitchen, Justin - In: The journal of asset management : a major new, … 23 (2022) 5, pp. 400-418

Persistent link: https://www.econbiz.de/10013392095

The role of disaggregation of earnings in stock valuation and earnings forecasting

Wang, Pengguo - In: Accounting and business research : a research quarterly … 43 (2013) 5, pp. 530-557

Persistent link: https://www.econbiz.de/10010208981

Firms' Propensity to Meet or Miss Analysts' Forecasts of Cash Flows and Earnings

Brown, Lawrence D.; Pinello, Arianna S. - 2014

We investigate firms' propensity to meet analysts' forecasts of cash flows and earnings, and identify factors pertaining to market valuation, financial analysts, and firms' financial condition to explain why firms sometimes meet cash flow forecasts but miss earnings forecasts. Firms meet cash...

Persistent link: https://www.econbiz.de/10014220420

Biases in Analysts' Multiyear Forecasted Income Statements, Balance Sheets, and Cash Flow Statements

Hand, John R. M. - 2017

We evaluate sell-side equity analysts' multiyear forecasted income statements, balance sheets and cash flow statements, and the profitability, efficiency and leverage ratios that they imply. Using both small- sample data extracted manually from Investext PDFs, and large-sample data taken from...

Persistent link: https://www.econbiz.de/10012951937

Bond Analysts' Forecasts on Cash Flows and Earnings

Kim, Robert - 2015

We examine the propensity and properties of bond analysts' forecasts on cash flows and earnings. We find that the probability to issue cash flow, relative to earnings, forecasts is greater for bond analysts than for equity analysts, consistent with the notion that cash flow, relative to...

Persistent link: https://www.econbiz.de/10013019557

Do Analysts’ Cash Flow Forecasts Improve the Accuracy of Their Target Prices?

Hashim, Noor - 2016

Current evidence on the sophistication of analysts' cash flow forecasts is ambiguous. For example, Call et al. (2009) show that issuing cash flow forecasts has important benefits for analysts' earnings forecasts, while Givoly et al. (2009) question the validity of this result, arguing that...

Persistent link: https://www.econbiz.de/10012988560