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
Market timing and the debt–equity choice
TL;DR: In this paper, the authors test the market timing theory of capital structure using an earnings-based valuation model that allows them to separate equity mispricing from growth options and time-varying adverse selection; thus avoiding the multiple interpretations of book-to-market ratio.
Journal ArticleDOI
Earnings Management Constraints and Classification Shifting
TL;DR: In this article, the authors investigate whether managers use classification shifting when their ability to use other forms of earnings management is constrained, and they find that when AEM is constrained by low accounting system flexibility and the provision of a cash flow forecast, managers are more likely to use Classification shifting.
Journal ArticleDOI
Analyst responsiveness and the post-earnings-announcement drift ☆
TL;DR: In this article, the responsiveness of analyst forecasts to current earnings announcements was examined and it was found that more of the market reaction takes place in the event window and less in the drift window, suggesting that analyst responsiveness mitigates the post-earnings-announcement drift and facilitates market efficiency.
Posted Content
Scale Effects of R&D as Reflected in Earnings and Returns
Mustafa Ciftci,William M. Cready +1 more
TL;DR: This article explore how R&D-related earnings performance and earnings variability depend upon the size of a firm and find that the positive association between the level of future earnings and research intensity increases with firm size.
Journal ArticleDOI
Direct Evidence on the Market-Driven Acquisitions Theory
James S. Ang,Yingmei Cheng +1 more
TL;DR: In this paper, the authors provide empirical evidence that stocks' overvaluation is an important reason for firms to make acquisitions with their stocks, supporting the market driven acquisition theory (Shleifer and Vishny, 2002).
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.