Всего статей в данном разделе : 12
A Model of the U.K. Equity Premium [статья]
Опубликовано на портале: 21-06-2006Mirko 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: 21-06-2006Qing 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.
Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach [статья]
Опубликовано на портале: 21-06-2006Tom 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
Ex Ante Cost of Equity Estimates of S&P 500 Firms: The Choice Between Global and Domestic CAPM [статья]
Опубликовано на портале: 20-06-2006Robert 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: 14-06-2006Baruch 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: 03-10-2003Gordon 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.
Опубликовано на портале: 20-06-2006Sangphill 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: 21-06-2006Martin 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.
Опубликовано на портале: 21-06-2006Andrew 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: 21-06-2006Roelof 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: 20-06-2006Jan 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: 21-06-2006Elroy 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.