**Всего публикаций в данном разделе:**12

# Последние поступления:

Опубликовано на портале: 21-06-2006

*Roelof Salomons*,

*Henk Grootveld*Emerging Markets Review. 2003. Vol. 4. No. 2. P. 121-145.

This article gives an empirical view of the ex post equity risk premium in a number
of international markets with special attention to emerging ones. Our study yields
interesting implications for finance. Conform expectations we find that the equity
risk premium in emerging markets is significantly higher than in developed markets.
However, the extent to which emerging stock markets reward investors varies through
time. We observe that the time varying nature of the equity risk premium relates
more to economic cycles than to the presence of some sort of structural break based
on stock market liberalisations. The distribution of equity risk premium in emerging
market is neither normally nor symmetrically distributed, which suggests that investors
should focus more on downside risk instead of standard deviations.

Опубликовано на портале: 21-06-2006

*Andrew Vivian*Working Paper Series (SSRN). 2005.

We examine the UK equity premium over more than a century using dividend growth to
estimate expectations of capital gains employing the approach of Fama and French
(2002). Since 1951 estimated equity premia implied by dividend growth have been much
lower than that produced by average stock returns for the UK market as a whole; a
finding corroborated by almost every industry sub-sector. Our empirical analysis
suggests this is primarily due to a declining discount rate, during the latter part
of the 20th Century, which would rationally stimulate unanticipated equity price
rises during this period. Thus, we conclude that historical stock returns over recent
decades have been above investors' expectations.

Опубликовано на портале: 21-06-2006

*Martin Lettau*,

*Sydney Ludvigson*,

*Jessica A. Wachter*AFA 2005 Philadelphia Meetings; 14th Annual Utah Winter Finance Conference Paper. 2004.

Aggregate stock prices, relative to virtually any indicator of fundamental value,
soared to unprecedented levels in the 1990s. Even today, after the market declines
since 2000, they remain well above historical norms. Why? We consider one particular
explanation: a fall in macroeconomic risk, or the volatility of the aggregate economy.
Empirically, we find a strong correlation between low frequency movements in macroeconomic
volatility and low frequency movements in the stock market. To model this phenomenon,
we estimate a two-state regime switching model for the volatility and mean of consumption
growth, and find evidence of a shift to substantially lower consumption volatility
at the beginning of the 1990s. We then use these estimates from post-war data to
calibrate a rational asset pricing model with regime switches in both the mean and
standard deviation of consumption growth. Plausible parameterizations of the model
are found to account for a significant portion of the run-up in asset valuation ratios
observed in the late 1990s.

**A Model of the U.K. Equity Premium**[статья]

Опубликовано на портале: 21-06-2006

*Mirko Cardinale*Watson Wyatt Technical Paper. 2002. No. 2002-TR-25 .

The paper analyses the behaviour of the equity premium in the UK. We find that lagged
dividend ratios, bill returns and time series factors all play a statistically significant
role in explaining the historical variation of the equity premium. Our analysis finds
that the conditional variance of the equity premium also changes over time. A time
series model which includes GARCH effects leads to a significant improvement in model
fit.

Опубликовано на портале: 21-06-2006

*Elroy Dimson*,

*Paul Marsh*,

*Mike Staunton*Working Paper Series (SSRN). 2006.

We use a new database of long-run stock, bond, bill, inflation, and currency returns
to estimate the equity risk premium for 17 countries and a world index over a 106-year
interval. Taking U.S. Treasury bills (government bonds) as the risk-free asset, the
annualised equity premium for the world index was 4.7% (4.0%). We report the historical
equity premium for each market in local currency and US dollars, and decompose the
premium into dividend growth, multiple expansion, the dividend yield, and changes
in the real exchange rate. We infer that investors expect a premium on the world
index of around 3-3 1/2% on a geometric mean basis, or approximately 4 1/2-5% on
an arithmetic basis.

Опубликовано на портале: 21-06-2006

*Tom Engsted*,

*Enno Mammen*,

*Carsten Tanggaard*EFMA 2001 Lugano Meetings. 2001.

We investigate the C-CAPM and the equity premium puzzle using asset returns and consumption
data from the US and Denmark In contrast to previous studies the investigation is
carried out with both short and long investment horizons In addition, we introduce
a Markovian bootstrap approach to calculate the finite-sample distributions of thevarious
test statistics used mong otherthings,our approach allows testing the hypothesis
of no pricing errors based on the Hansen and Jagannathan (1997) specification error
measure, which is not possible based on asymptotic approximations The analysis shows
that there are large differences between US and Danish asset markets, and also to
some extent differences depending on the length of the investment horizon In addition,
with a long investment horizon, the asymptotic and bootstrap estimated distributions
often differ markedly We also find that although the Hansen-Jagannathan specification
error measure points to large pricing errors, when we account properly (using the
bootstrap approach) for sampling error, there is no evidence against the C-CAPM with
CRR utility in neither the US nor Danish data However, the bootstrap based tests
of a zero-mean risk-adjusted equity premium clearly reject the model on US data

Опубликовано на портале: 21-06-2006

*Qing Li*,

*Maria Vassalou*,

*Yuhang Xing*AFA 2002 Atlanta Meetings. 2001.

In this paper we present a simple model where asset returns are functions of multiple
investment growth rates. The model is tested for its ability to price the 25 Fama-French
portfolios using the Generalized Methods of Moments (GMM) methodology, as well as
Fama-MacBeth cross-sectional regressions. Comparisons on the basis of several metrics
with other models, such as the CAPM, the Fama-French (1993) model and Cochrane's
(1996) model, reveal that it consistently outperforms the CAPM and Cochrane's model.
It also outperforms the Fama-French model in several tests. Our model can explain
a significantly larger proportion of the cross-sectional variation in the 25 Fama-French
portfolios than the Fama-French model does. Specification tests in the context of
GMM and the Fama-MacBeth regressions show that in the presence of the investment
growth factors included in our model, the size and book-to-market characteristics
lose their ability to explain asset returns. Our model is successful in pricing size-
and book-to-market- sorted portfolios, although it includes exclusively macroeconomic
variables as factors.

**Ex Ante Cost of Equity Estimates of S&P 500 Firms: The Choice Between Global and Domestic CAPM**[статья]

Опубликовано на портале: 20-06-2006

*Robert S. Harris*,

*Felicia C. Marston*,

*Dev R. Mishra*,

*Thomas J. O'Brien*Financial Management. 2003. Vol. 32. No. 3.

We estimate ex ante expected returns for a sample of S&P 500 firms over the period
1983-98. The exante estimates show a better overall fit with the domestic version
of the single-factor CAPM than with the global version, but the difference is small.
This finding has no trend in time and is consistent across groups formed on the basis
of relative foreign sales. The findings suggest that, for estimating the cost of
equity, the choice between the domestic and global CAPMs may not be a material issue
for many large U.S. firms.

Опубликовано на портале: 20-06-2006

*Sangphill Kim*,

*Ramon P. Degennaro*Journal of Portfolio Management. 1986. Vol. 12.

The General Capital Asset Pricing Model (GCAPM) incorporates certain market imperfections.
Levy concludes that in GCAPM equilibrium, all investors do not necessarily hold the
market portfolio and that a security's own variance is priced. We show that financial
intermediaries, responding to potential abnormal profits, relax an important GCAPM
constraint. The introduction of intermediaries into the GCAPM leads to results not
unlike those of the CAPM itself. If an asset's own variance affects its price, we
conclude that this feature provides a major reason for the existence of financial
intermediaries.

Опубликовано на портале: 20-06-2006

*Jan Bartholdy*,

*Paula Peare*Working Paper Series (SSRN). 2001.

When estimation of beta is based on the Capital Asset Pricing Model the standard
recommendation is to use five years of monthly data and a value-weighted index. Given
the importance of the beta estimate obtained for financial decisions, such as those
involved in portfolio management, capital budgeting, and performance evaluation,
there is surprisingly little research evidence in support of this recommendation.
The objective of this paper is to address this shortcoming. For this purpose the
relative efficiency of beta estimates which result from using different data frequencies,
time periods, and indexes is examined. It is found that five years of monthly data
and an equal-weighted index, as opposed to the commonly recommended value-weighted
index, provides the most efficient estimate.

Опубликовано на портале: 14-06-2006

*Baruch Lev*,

*Stefano Zambon*European Accounting Review. 2003. Vol. 12. No. 4. P. 597-603.

The authors believe that intangibles are the major drivers of company growth. In
an economy where innovation, information and communication technologies, networks
and alliances, as well as the quality of human resources and the way in which they
are organized, intangibles will continue to be vital to companies, and the challenge
of how to manage, measure and visualize them has to be addressed in theoretical and
practical terms. As is well known, intangible assets have a value in use and in some
cases also a value in exchange. Beyond their potential informativeness for external
stakeholders, intellectual capital (IC) statements seem to have a fundamental function
of self-analysis for the firm, forcing it to recognize both its implicit assets and
the different links between the various types of capital. The relationship between
IC statements and other forms of company reporting, such as social, ethical and environmental
reports, should also be explored in depth, to avoid a proliferation of statements
which increases the reporting burden on companies and decision-makers.

Опубликовано на портале: 03-10-2003

*Gordon Pye*Journal of Business. 1966. Vol. 39. No. 1. P. 45-51.

In this article examines what discount rates should be used when borrowing rate is
greater than the
lending rate using present value interpretation. Author consider in this article:
Conditions where the difference
between the borrowing and lending rates will cover the labor and transaction costs
involved; Derivation of the correct rate-of-return rule that can either accept
or
reject an investment.