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A Free Cash Flow Investment Anomaly
16 references·2 citing·34 second hop
A Free Cash Flow Investment Anomaly (2000)A Free Cash Flow Investment AnomalyHow naive is the stock market's use of earnings information? (1996)How naive is the stock market…Valuation and Clean Surplus Accounting for Operating and Financial Activities* (1995)Valuation and Clean Surplus A…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Valuation: Measuring and managing the value of companies (1992)Valuation: Measuring and mana…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Financial statement analysis and the prediction of stock returns (1989)Financial statement analysis …Accounting Measurement, Price-Earnings Ratio, and the Information Content of Security Prices (1989)Accounting Measurement, Price…Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Agency Costs of Free Cash Flo…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Free Cash Flow Impact on Firm’s Profitability: An Empirical Indication of Firms listed in KSE, Pakistan (2017)Free Cash Flow Impact on Firm…Data Truncation Bias, Loss Firms, and Accounting Anomalies (2011)Data Truncation Bias, Loss Fi…Editor's Choice Digesting Anomalies: An Investment ApproachMean reversion in stock prices (1988)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Common risk factors in the returns on stocks and bonds (1993)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)Capital markets research in accounting (2001)Toward an Implied Cost of Capital (2001)Expected EPS and EPS Growth as Determinantsof Value (2005)The cost of capital, corporation finance and the theory of investment (2008)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Transformative capacity: Continual structuring by intertemporal technology transfer (1994)Is performance driven by industry‐or firm‐specific factors? A new look at the evidence (2002)Does Corporate Social Responsibility Influence Firm Performance of Indian Companies? (2010)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1993)A Survey of Corporate Governance (1997)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1986Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers17,216 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
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  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1992Valuation: Measuring and managing the value of companies2,261 cited
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  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
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  • 1989Financial statement analysis and the prediction of stock returns996 cited
  • 1996How naive is the stock market's use of earnings information?

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307 cited
  • 1989Accounting Measurement, Price-Earnings Ratio, and the Information Content of Security Prices298 cited
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    • 2011Data Truncation Bias, Loss Firms, and Accounting Anomalies29 cited
    • 2017Free Cash Flow Impact on Firm’s Profitability: An Empirical Indication of Firms listed in KSE, Pakistan19 cited