Journal ArticleDOI
Presidential Address: Discount Rates
TLDR
Discount-rate variation is the central organizing question of current asset-pricing research as discussed by the authors, and a survey of discount-rate theories and applications can be found in the survey.Abstract:
Discount-rate variation is the central organizing question of current asset-pricing research. I survey facts, theories, and applications. Previously, we thought returns were unpredictable, with variation in price-dividend ratios due to variation in expected cashflows. Now it seems all price-dividend variation corresponds to discount-rate variation. We also thought that the cross-section of expected returns came from the CAPM. Now we have a zoo of new factors. I categorize discount-rate theories based on central ingredients and data sources. Incorporating discount-rate variation affects finance applications, including portfolio theory, accounting, cost of capital, capital structure, compensation, and macroeconomics.read more
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Digesting Anomalies: An Investment Approach
Kewei Hou,Chen Xue,Lu Zhang +2 more
TL;DR: In this paper, the authors proposed a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor.
Book ChapterDOI
Market Liquidity: Asset Pricing with Liquidity Risk
TL;DR: In this paper, a simple equilibrium model with liquidity risk is proposed, where a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return.
Journal ArticleDOI
Digesting Anomalies: An Investment Approach
Kewei Hou,Chen Xue,Lu Zhang +2 more
TL;DR: An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns as mentioned in this paper, and with a few exceptions, the Q-Factor model's performance is at least comparable to, and in many cases better than that of the Fama-French (1993) 3 factor model and the Carhart (1997) 4 factor model in capturing the remaining significant anomalies.
Journal ArticleDOI
Expectations of Returns and Expected Returns
Robin Greenwood,Andrei Shleifer +1 more
TL;DR: This paper analyzed time-series of investor expectations of future stock market returns from six data sources between 1963 and 2011 and found that investor expectations are strongly negatively correlated with model-based expected returns.
Journal ArticleDOI
The Economics of Disclosure and Financial Reporting Regulation: Evidence and Suggestions for Future Research
Christian Leuz,Peter D. Wysocki +1 more
TL;DR: The authors discusses the empirical literature on the economic consequences of disclosure and financial reporting regulation, drawing on U.S. and international evidence, highlighting the challenges with quantifying regulatory costs and benefits, measuring disclosure and reporting outcomes, and drawing causal inferences from regulatory studies.
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
Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
Journal ArticleDOI
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
Book ChapterDOI
The use of knowledge in society
TL;DR: In this paper, it was pointed out that many of the current disputes with regard to both economic theory and economic policy have their common origin, it seems to me, in a misconception about the nature of the economic problem of society.
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.