The cross section of expected holding period returns and their dynamics: A present value approach
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DOI: 10.1016/j.jfineco.2015.03.001
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Cited by:
- Matthew R. Lyle, 2016. "Valuation: Accounting for Risk and the Expected Return. Discussion of Penman," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 131-139, March.
- Alexander Nekrasov, 2016. "Equity Value as a Function of (eps1, eps2, dps1, bvps, beta): Concepts and Realities. Discussion of Ohlson and Johannesson," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 100-105, March.
- Lars A. Lochstoer & Paul C. Tetlock, 2020. "What Drives Anomaly Returns?," Journal of Finance, American Finance Association, vol. 75(3), pages 1417-1455, June.
- Huynh, Thanh D. & Nguyen, Thu Ha & Truong, Cameron, 2020. "Climate risk: The price of drought," Journal of Corporate Finance, Elsevier, vol. 65(C).
- Stephen H. Penman & Francesco Reggiani & Scott A. Richardson & İrem Tuna, 2018. "A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price," European Financial Management, European Financial Management Association, vol. 24(4), pages 488-520, September.
- Stephen Penman & Julie Zhu & Haofei Wang, 2023. "The implied cost of capital: accounting for growth," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1029-1056, October.
- Stephen Penman, 2016. "Valuation: Accounting for Risk and the Expected Return," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 106-130, March.
- Liu Wei-qi & Zhang Jingxing, 2018. "BM(book-to-market ratio) factor: medium-term momentum and long-term reversal," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-29, December.
- Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
- Stephen H. Penman & Xiao-Jun Zhang, 2021. "Connecting book rate of return to risk and return: the information conveyed by conservative accounting," Review of Accounting Studies, Springer, vol. 26(1), pages 391-423, March.
- Belkhir, Mohamed & Saad, Mohsen & Samet, Anis, 2020. "Stock extreme illiquidity and the cost of capital," Journal of Banking & Finance, Elsevier, vol. 112(C).
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More about this item
Keywords
Expected returns; Discount rates; Holding period returns; Fundamental valuation; Accounting data; Present value;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
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