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An Evaluation of the Reliability of Accounting Based Measures of Expected Returns: A Measurement Error Perspective
16 references·5 citing·28 second hop
An Evaluation of the Reliability of Accounting Based Measures of Expected Returns: A Measurement Error Perspective (2003)An Evaluation of the Reliability of Accou…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Toward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…Essays on disclosure (2001)Essays on disclosureThe Econometrics of Financial Markets (1997)The Econometrics of Financial…Industry costs of equity (1997)Industry costs of equityDo Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? (1997)Do Stock Prices Fully Reflect…Disclosure level and the cost of equity capital. (1997)Disclosure level and the cost…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…Earnings, Book Values, and Dividends in Equity Valuation* (1995)Earnings, Book Values, and Di…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure, Liquidity, and th…The relationship between return and market value of common stocks (1981)The relationship between retu…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …Growth Matters: Disclosure and Risk Premium (2021)Growth Matters: Disclosure an…Review of Recent Research on Improving Earnings Forecasts and Evaluating Accounting-Based Estimates of the Expected Rate of Return on Equity Capital (2015)Review of Recent Research on …The relationship between corporate governance practices and cost of capital in large listed companies of New Zealand and Singapore (2014)The relationship between corp…The Valuation Effects of Firm Voluntary Adoption of International Accounting Standards (2005)The Valuation Effects of Firm…Discussion of “The Effect of Accounting Restatements on Earnings Revisions and the Estimated Cost of Capital” (2004)Discussion of “The Effect of …Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Theory and Measurement of Business Income (1961)Valuation and Clean Surplus Accounting for Operating and Financial Activities* (1995)Capital markets research in accounting (2001)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Determinants of corporate borrowing (1977)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997Industry costs of equity5,793 cited
  • 1995Earnings, Book Values, and Dividends in Equity Valuation*5,061 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1991Disclosure, Liquidity, and the Cost of Capital3,828 cited
  • 1997Disclosure level and the cost of equity capital.3,577 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • 2001Essays on disclosure2,478 cited
  • 1997Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?2,181 cited
  • 2001Toward an Implied Cost of Capital

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  • 2005The Valuation Effects of Firm Voluntary Adoption of International Accounting Standards24 cited
  • 2004Discussion of “The Effect of Accounting Restatements on Earnings Revisions and the Estimated Cost of Capital”23 cited
  • 2014The relationship between corporate governance practices and cost of capital in large listed companies of New Zealand and Singapore17 cited
  • 2021Growth Matters: Disclosure and Risk Premium15 cited