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Using Expectations to Test Asset Pricing Models

Citations

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Cited by:

  1. Daphne Lui & Stanimir Markov & Ane Tamayo, 2012. "Equity Analysts and the Market's Assessment of Risk," Journal of Accounting Research, Wiley Blackwell, vol. 50(5), pages 1287-1317, December.
  2. Jean‐Philippe Bouchaud & Philipp Krüger & Augustin Landier & David Thesmar, 2019. "Sticky Expectations and the Profitability Anomaly," Journal of Finance, American Finance Association, vol. 74(2), pages 639-674, April.
  3. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011. "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, vol. 27(2), pages 413-437.
  4. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009. "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 406-426, April.
  5. Sandip Mukherji & Youngho Lee, 2013. "Explanatory Factors for Market Multiples and Expected Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(1), pages 45-54.
  6. Mikael C. Bergbrant & Patrick J. Kelly, 2016. "Macroeconomic Expectations and the Size, Value, and Momentum Factors," Financial Management, Financial Management Association International, vol. 45(4), pages 809-844, December.
  7. Pawel Bilinski & Danielle Lyssimachou, 2014. "Risk Interpretation of the CAPM's Beta: Evidence from a New Research Method," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 203-226, June.
  8. Raj Aggarwal & Dev Mishra & Craig Wilson, 2018. "Analyst recommendations and the implied cost of equity," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 717-743, April.
  9. Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
  10. Ľuboš Pástor & Meenakshi Sinha & Bhaskaran Swaminathan, 2008. "Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital," Journal of Finance, American Finance Association, vol. 63(6), pages 2859-2897, December.
  11. Yuan Huang & Steven Wei, 2012. "Advertising intensity, investor recognition, and implied cost of capital," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 275-298, April.
  12. Gerritsen, Dirk F. & Weitzel, Utz, 2017. "Security analyst target prices as reference point and takeover completion," Journal of Behavioral and Experimental Finance, Elsevier, vol. 15(C), pages 1-14.
  13. Merkle, Christoph & Sextroh, Christoph J., 2021. "Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 159-178.
  14. Murillo Campello & Long Chen & Lu Zhang, 2008. "Expected returns, yield spreads, and asset pricing tests," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1297-1338, May.
  15. Todd Houge & Tim Lughran, 2006. "Do Invesrtors Capture the Value Premium?," Financial Management, Financial Management Association International, vol. 35(2), pages 5-19, June.
  16. Clifford S. Asness & Andrea Frazzini & Lasse Heje Pedersen, 2019. "Quality minus junk," Review of Accounting Studies, Springer, vol. 24(1), pages 34-112, March.
  17. Chandra, Situmeang & Erlina, Erlina & Maksum, Azhar & Supriana, Tavi, 2018. "Effect of corporate governance on cost of equity before and after international financial reporting standard implementation," MPRA Paper 87759, University Library of Munich, Germany, revised Mar 2018.
  18. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
  19. Persakis, Anthony & Iatridis, George Emmanuel, 2017. "The joint effect of investor protection, IFRS and earnings quality on cost of capital: An international study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 1-29.
  20. Hollis Ashbaugh‐Skaife & Daniel W. Collins & William R. Kinney Jr & Ryan Lafond, 2009. "The Effect of SOX Internal Control Deficiencies on Firm Risk and Cost of Equity," Journal of Accounting Research, Wiley Blackwell, vol. 47(1), pages 1-43, March.
  21. Henk Berkman & Ben Jacobsen & John B. Lee, 2017. "Rare disaster risk and the expected equity risk premium," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(2), pages 351-372, June.
  22. Peter D. Easton & Gregory A. Sommers, 2007. "Effect of Analysts' Optimism on Estimates of the Expected Rate of Return Implied by Earnings Forecasts," Journal of Accounting Research, Wiley Blackwell, vol. 45(5), pages 983-1015, December.
  23. Livnat, Joshua & Smith, Gavin & Suslava, Kate & Tarlie, Martin, 2021. "Board tenure and firm performance," Global Finance Journal, Elsevier, vol. 47(C).
  24. Anderson, Evan W. & Ghysels, Eric & Juergens, Jennifer L., 2009. "The impact of risk and uncertainty on expected returns," Journal of Financial Economics, Elsevier, vol. 94(2), pages 233-263, November.
  25. Philip Baird & Pinar Geylani & Jeffrey Roberts, 2012. "Corporate Social and Financial Performance Re-Examined: Industry Effects in a Linear Mixed Model Analysis," Journal of Business Ethics, Springer, vol. 109(3), pages 367-388, September.
  26. Jean-Philippe Bouchaud & Stefano Ciliberti & Augustin Landier & Guillaume Simon & David Thesmar, 2016. "The Excess Returns of "Quality" Stocks: A Behavioral Anomaly," Papers 1601.04478, arXiv.org.
  27. Hagemeister, Meike & Kempf, Alexander, 2007. "CAPM und erwartete Renditen: Eine Untersuchung auf Basis der Erwartung von Marktteilnehmern," CFR Working Papers 07-01, University of Cologne, Centre for Financial Research (CFR).
  28. Gene Amromin & Steven A. Sharpe, 2014. "From the Horse's Mouth: Economic Conditions and Investor Expectations of Risk and Return," Management Science, INFORMS, vol. 60(4), pages 845-866, April.
  29. Günter Strobl, 2013. "Earnings Manipulation and the Cost of Capital," Journal of Accounting Research, Wiley Blackwell, vol. 51(2), pages 449-473, May.
  30. Szakmary, Andrew C. & Conover, C. Mitchell & Lancaster, Carol, 2008. "An examination of Value Line's long-term projections," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 820-833, May.
  31. Jiang, Hao, 2010. "Institutional investors, intangible information, and the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 96(1), pages 98-126, April.
  32. Turan G. Bali & Nusret Cakici & Yi Tang, 2009. "The Conditional Beta and the Cross‐Section of Expected Returns," Financial Management, Financial Management Association International, vol. 38(1), pages 103-137, March.
  33. Hernán Ortiz-Molina & Gordon M. Phillips, 2010. "Asset Liquidity and the Cost of Capital," NBER Working Papers 15992, National Bureau of Economic Research, Inc.
  34. Dionysia Dionysiou, 2015. "Choosing Among Alternative Long-Run Event-Study Techniques," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 158-198, February.
  35. Tsai, Pei-Ling & Hsu, Yuan-Lin & Chih, Hsiang-Hsuan & Lin, Shih-Kuei, 2022. "Theoretical and empirical analysis of options in open market share repurchases of Taiwan companies," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 205-226.
  36. Persakis, Anthony & Iatridis, George Emmanuel, 2015. "Cost of capital, audit and earnings quality under financial crisis: A global empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 3-24.
  37. Fu, Fangjian, 2009. "Idiosyncratic risk and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 91(1), pages 24-37, January.
  38. Roger, Tristan & Roger, Patrick & Schatt, Alain, 2018. "Behavioral bias in number processing: Evidence from analysts’ expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 149(C), pages 315-331.
  39. Khoa Hoang & Robert Faff, 2021. "Is the ex‐ante equity risk premium always positive? Evidence from a new conditional expectations model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 95-124, March.
  40. Jie Zhou, 2013. "Analysts’ Target Prices and Stock Recommendations," Accounting and Finance Research, Sciedu Press, vol. 2(1), pages 1-1, February.
  41. Khalifa, Maha & Othman, Hakim Ben & Hussainey, Khaled, 2018. "The effect of ex ante and ex post conservatism on the cost of equity capital: A quantile regression approach for MENA countries," Research in International Business and Finance, Elsevier, vol. 44(C), pages 239-255.
  42. Chandra Situmeang & Erlina & Azhar Maksum & Tavi Supriana, 2018. "Effect Of Corporate Governance On Cost Of Equity Before And After International Financial Reporting Standard Implementation," Junior Scientific Researcher, SC Research Publishing SRL, vol. 4(1), pages 1-13, May.
  43. Dechow, Patricia & Ge, Weili & Schrand, Catherine, 2010. "Understanding earnings quality: A review of the proxies, their determinants and their consequences," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 344-401, December.
  44. Jan A. Kempkes & Francesco Suprano & Andreas Wömpener, 2023. "An empirical evaluation of dynamic approaches for estimating firms’ expected cost of equity capital," The Financial Review, Eastern Finance Association, vol. 58(4), pages 859-886, November.
  45. Berger, Dave & Turtle, H.J., 2011. "Emerging market crises and US equity market returns," Global Finance Journal, Elsevier, vol. 22(1), pages 32-41.
  46. Roger, Tristan, 2024. "Do financial analysts care about ESG ?," Finance Research Letters, Elsevier, vol. 63(C).
  47. Joop Huij & Marno Verbeek, 2009. "On the Use of Multifactor Models to Evaluate Mutual Fund Performance," Financial Management, Financial Management Association International, vol. 38(1), pages 75-102, March.
  48. Alon Brav & Roni Michaely & Michael Roberts & Rebecca Zarutskie, 2009. "Evidence on the Trade‐Off between Risk and Return for IPO and SEO Firms," Financial Management, Financial Management Association International, vol. 38(2), pages 221-252, June.
  49. Daphne Lui & Stanimir Markov & Ane Tamayo, 2007. "What Makes a Stock Risky? Evidence from Sell‐Side Analysts' Risk Ratings," Journal of Accounting Research, Wiley Blackwell, vol. 45(3), pages 629-665, June.
  50. Jennifer Francis & Dhananjay Nanda & Per Olsson, 2008. "Voluntary Disclosure, Earnings Quality, and Cost of Capital," Journal of Accounting Research, Wiley Blackwell, vol. 46(1), pages 53-99, March.
  51. Gerritsen, Dirk F., 2015. "Security analysts’ target prices and takeover premiums," Finance Research Letters, Elsevier, vol. 13(C), pages 205-213.
  52. Frank Ecker & Jennifer Francis & Per Olsson & Katherine Schipper, 2021. "Non-random sampling and association tests on realized returns and risk proxies," Review of Accounting Studies, Springer, vol. 26(2), pages 772-814, June.
  53. Ambrus Kecskés & Roni Michaely & Kent L. Womack, 2017. "Do Earnings Estimates Add Value to Sell-Side Analysts’ Investment Recommendations?," Management Science, INFORMS, vol. 63(6), pages 1855-1871, June.
  54. Gene Amromin & Steven A. Sharpe, 2009. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  55. Core, John E. & Guay, Wayne R. & Verdi, Rodrigo, 2008. "Is accruals quality a priced risk factor?," Journal of Accounting and Economics, Elsevier, vol. 46(1), pages 2-22, September.
  56. Julien Pénasse, 2022. "Understanding Alpha Decay," Management Science, INFORMS, vol. 68(5), pages 3966-3973, May.
  57. Shen, Carl Hsin-han & Zhang, Hao, 2020. "What's good for you is good for me: The effect of CEO inside debt on the cost of equity," Journal of Corporate Finance, Elsevier, vol. 64(C).
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