Journal ArticleDOI
Industry costs of equity
Eugene F. Fama,Kenneth R. French +1 more
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TLDR
In this paper, the authors show that standard errors of more than 3.0% per year are typical for both the CAPM and the three-factor model of Fama and French (1993), and these large standard errors are the result of uncertainty about true factor risk premiums and imprecise estimates of the loadings of industries on the risk factors.About:
This article is published in Journal of Financial Economics.The article was published on 1997-02-01. It has received 6064 citations till now. The article focuses on the topics: Equity risk & Residual income valuation.read more
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Journal ArticleDOI
Does Religion Matter to Equity Pricing
TL;DR: For example, this article found that firms located in more religious counties enjoy cheaper equity financing costs and that the importance of religion to equity pricing is concentrated in firms that suffer lower visibility, which tend to be more sensitive to local social and economic factors.
Posted Content
Does Increased Board Independence Reduce Earnings Management? Evidence from Recent Regulatory Reforms
Xia Chen,Qiang Cheng,Xin Wang +2 more
TL;DR: In this paper, the authors examine whether regulatory reforms requiring majority board independence are effective in reducing the extent of earnings management and find that non-compliance firms on average do not experience a significant decrease in earnings management after the reforms compared to other firms.
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A Reexamination of Corporate Governance and Equity Prices with Updated and Supplemental Results
TL;DR: In this article, the authors reexamine long-term abnormal returns for portfolios sorted on governance characteristics and find statistically zero longterm abnormal return for portfolios sorting on governance, and demonstrate the importance of the coarseness of industry definitions in financial research and shed light on addressing statistical problems created by industry clustering in samples.
Journal ArticleDOI
Corporate Environmental Responsibility and the Cost of Capital: International Evidence
TL;DR: In this paper, the authors examine how corporate environmental responsibility affects the cost of equity capital for manufacturing firms in 30 countries and conclude that investment in CER reduces firms’ equity financing costs worldwide.
Journal ArticleDOI
Market Reactions to Tangible and Intangible Information
TL;DR: The authors decompose stock returns into components attributable to tangible and intangible information, and find that intangible information reliably predicts future stock returns, but the premia associated with intangible information pose challenges for both traditional asset pricing models and models based on psychological factors.
References
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Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI
The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.