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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Issuer surplus and the partial adjustment of IPO prices to public information
TL;DR: In this article, the authors develop a model in which rational issuers maximize the expected surplus from going public by choosing an offer price that weighs the benefit of higher proceeds if the offer is completed against the cost of foregone surplus if it fails.
Journal ArticleDOI
Investment, Financing Constraints, and Internal Capital Markets: Evidence from the Advertising Expenditures of Multinational Firms
TL;DR: The authors found a significant positive relation between a firm's advertising spending in the United States and its contemporaneous foreign cash flow, and this relation holds even after controlling for factors that should be related to the optimal level of domestic advertising, and it is stronger for subsets of firms that are relatively more financially constrained.
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Accruals Quality and Internal Control Over Financial Reporting
TL;DR: This article examined the relation between accruals quality and internal controls using 705 firms that disclosed at least one material weakness from August 2002 to November 2005 and found that weaknesses are generally associated with poorly estimated assets that are not realized as cash flows.
Journal ArticleDOI
Do sell-side analysts exhibit differential target price forecasting ability?
TL;DR: In this paper, the authors examine the overall and individual analyst performance of 12-month-ahead target price forecasts over the 10 years from 2000 through 2009, and find statistically significant but economically weak evidence of persistent differential abilities by sell-side analysts to forecast target prices.
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Equity Valuation Employing the Ideal versus Ad Hoc Terminal Value Expressions
TL;DR: In this article, the authors explore the question whether, over a five-year valuation horizon, discounted cash flow model (DCF) and RIM are empirically equivalent when Penman's (1997) theoretically "ideal" terminal value expressions are employed in each model.
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.