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Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
16 references·16 citing·33 second hopsampled
Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital (2006)Estimating the Intertemporal Risk-Return …PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)PE Ratios, PEG Ratios, and Es…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Toward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)Equity Premia as Low as Three…Industry costs of equity (1997)Industry costs of equityDisclosure level and the cost of equity capital. (1997)Disclosure level and the cost…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…No news is good news (1992)No news is good newsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Expected stock returns and volatility (1987)Expected stock returns and vo…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Principles of Corporate Finance. (1981)Principles of Corporate Finan…On estimating the expected return on the market (1980)On estimating the expected re…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Option-Implied Correlations and the Price of Correlation Risk (2020)Option-Implied Correlations a…Survey Expectations of Returns and Asset Pricing Puzzles (2014)Survey Expectations of Return…Terminal valuations, growth rates and the implied cost of capital (2012)Terminal valuations, growth r…Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth (2011)Using earnings forecasts to s…Measurement Errors of Expected-Return Proxies and the Implied Cost of Capital (2011)Measurement Errors of Expecte…Information Environment and Equity Risk Premium Volatility Around the World (2011)Information Environment and E…Predictability of Returns and Cash Flows (2010)Predictability of Returns and…Cross-Country Evidence on the Importance of Big Four Auditors to Equity Pricing: The Mediating Role of Legal Institutions (2010)Cross-Country Evidence on the…What Drives Stock Price Movement? (2008)What Drives Stock Price Movem…The Political Determinants of the Cost of Equity: Evidence from Newly Privatized Firms (2008)The Political Determinants of…The Implied Cost of Capital: A New Approach (2008)The Implied Cost of Capital: …Long-run risk-return trade-offs (2007)Long-run risk-return trade-of…Investigating the intertemporal risk–return relation in international stock markets with the component GARCH model (2007)Investigating the intertempor…Estimating the Equity Premium (2007)Estimating the Equity PremiumConservatism, growth, and return on investment (2007)Conservatism, growth, and ret…Components of Market Risk and Return (2007)Components of Market Risk and…Coefficient Alpha and the Internal Structure of Tests (1951)Disclosure, Liquidity, and the Cost of Capital (1991)The Cross-Section of Expected Stock Returns (1992)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)The economic implications of corporate financial reporting (2005)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Capital Structure Puzzle (1984)The Determinants of Capital Structure Choice (1988)The theory and practice of corporate finance: evidence from the field (2001)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1997Industry costs of equity5,793 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1981Principles of Corporate Finance.3,634 cited
  • 1997Disclosure level and the cost of equity capital.3,577 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2001Toward an Implied Cost of Capital2,004 cited
  • 1992No news is good news1,929 cited
  • 2004PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital1,749 cited
  • 2001Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets

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Cited by

  • 2007Long-run risk-return trade-offs80 cited
  • 2007Conservatism, growth, and return on investment79 cited
  • 2010Predictability of Returns and Cash Flows77 cited
  • 2007Investigating the intertemporal risk–return relation in international stock markets with the component GARCH model71 cited
  • 2020Option-Implied Correlations and the Price of Correlation Risk56 cited
  • 2008The Implied Cost of Capital: A New Approach51 cited
  • 2011Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth47 cited
  • 2008What Drives Stock Price Movement?46 cited
  • 2011Information Environment and Equity Risk Premium Volatility Around the World42 cited
  • 2007Estimating the Equity Premium42 cited
  • 2007Components of Market Risk and Return41 cited
  • 2012Terminal valuations, growth rates and the implied cost of capital38 cited
  • 2014Survey Expectations of Returns and Asset Pricing Puzzles30 cited
  • 2010Cross-Country Evidence on the Importance of Big Four Auditors to Equity Pricing: The Mediating Role of Legal Institutions27 cited
  • 2008The Political Determinants of the Cost of Equity: Evidence from Newly Privatized Firms27 cited
  • 2011Measurement Errors of Expected-Return Proxies and the Implied Cost of Capital26 cited