This paper develops an analytically coherent yet parsimonious framework which explains market returns in terms of contemporaneous information. It anchors on the idea that valuation (static perspective) can be connected to the dynamics that explains returns, and vice versa. The framework requires...

This paper examines three basic equity valuation concepts: (i) Residual Income Valuation (RIV); (ii) in the spirit of Miller-Modigliani, the irrelevance of a firm's dividend payout policy; (iii) betas/CAPM, to quantify risk and capitalization factors. As a first cut, results show that RIV,...

The paper presents an accounting framework for identifying characteristics that indicate expected returns. A model links expected returns to expected earnings and earnings growth, so a characteristic indicates expected returns if it indicates expected earnings and earnings growth that the market...

This paper investigates the question of whether so-called anomalous returns predicted by accounting numbers are normal returns for risk or abnormal returns. It does so via a model that shows how accounting numbers inform about normal returns if pricing were rational. The model equates expected...