Journal ArticleDOI
Industry costs of equity
Eugene F. Fama,Kenneth R. French +1 more
Reads0
Chats0
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
Citations
More filters
Journal ArticleDOI
Accruals quality, stock returns, and macroeconomic conditions
Dongcheol Kim,Yaxuan Qi +1 more
TL;DR: In this article, the authors examine whether and how earnings quality, measured as accruals quality (AQ), affects the cost of equity capital and find that the AQ risk factor is significantly priced, after controlling for low-priced stocks.
Journal ArticleDOI
Agency Theory of Overvalued Equity as an Explanation for the Accrual Anomaly
TL;DR: In this article, the agency theory of overvalued equity was used to explain the accrual anomaly, i.e., abnormal returns to an accruality trading strategy (see Sloan, 1996) rather than investors' fixation on accruals.
Posted Content
The Impact of the Sarbanes-Oxley Act on the Corporate Disclosures of Information Security Activities
TL;DR: Findings provide strong indirect evidence that corporate information security activities are receiving more focus since the passage of SOX than before SOX was enacted.
Journal ArticleDOI
Non-GAAP Earnings and Board Independence
TL;DR: In this paper, the authors examine the association between board independence and the characteristics of non-GAAP earnings and find that companies with less independent boards are more likely to opportunistically exclude recurring items from non-gaAP earnings.
Journal ArticleDOI
Did the 2003 Tax Act Reduce the Cost of Equity Capital
TL;DR: This paper showed that the 2003 Tax Relief Reconciliation Act of 2003 (the 2003 Tax Act) drastically reduced shareholder level taxes on equity income, and showed that for firms largely held by institutional investors to whom the tax rate reduction does not apply, the decline in the cost of equity capital is smaller.
References
More filters
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.