Post by arfanho7 on Feb 24, 2024 3:55:14 GMT -5
Wang Over the past years the central question in asset pricing is understanding what drives the variation in expected returns. Despite its importance empirical research in this area has remained problematic because the key variable expected returns is not observable. This paper promotes an accounting fundamentals based approach to estimating expected returns.
It contributes to the stream of empirical studies devoted to developing the estimation of and understanding the behavior of expected returns. be used to analyze investment choices in Egypt WhatsApp Number List international equity contexts. Author Abstract Under fairly general assumptions expected stock returns are a linear combination of two firm fundamentals book to market ratio and return on equity. This parsimonious relation is pervasive producing expected return proxies ERP that predict the cross section of out of sample returns in of international equity markets. The average slope coefficient on the ERP is a highly significant.
Aast factor model based proxies fail to exhibit predictive power worldwide. Integrating the model with a dynamic information structure we show analytically and verify empirically that the importance of return on equity in forecasting future stock returns depends on the quality of the accounting information. This extension also reconciles our model with alternative characteristic based forecasters.
It contributes to the stream of empirical studies devoted to developing the estimation of and understanding the behavior of expected returns. be used to analyze investment choices in Egypt WhatsApp Number List international equity contexts. Author Abstract Under fairly general assumptions expected stock returns are a linear combination of two firm fundamentals book to market ratio and return on equity. This parsimonious relation is pervasive producing expected return proxies ERP that predict the cross section of out of sample returns in of international equity markets. The average slope coefficient on the ERP is a highly significant.
Aast factor model based proxies fail to exhibit predictive power worldwide. Integrating the model with a dynamic information structure we show analytically and verify empirically that the importance of return on equity in forecasting future stock returns depends on the quality of the accounting information. This extension also reconciles our model with alternative characteristic based forecasters.