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Cross-sectional forecasts of the equity premium☆ · Study

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ArticleCross-sectional forecasts of the equity premium☆

Christopher Polk2006

Article2006

Cross-sectional forecasts of the equity premium☆

Christopher Polk · Tuomo Vuolteenaho

246 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1976The arbitrage theory of capital asset pricing 1975THE 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.]1973An Intertemporal Capital Asset Pricing Model 1961Dividend Policy, Growth, and the Valuation of Shares 1981The relationship between return and market value of common stocks 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

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Year2006

Typearticle

Published2006-01-19

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations246

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2005.03.013

openalex_workW2157969799

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2005Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis 2006Capital Account Liberalization: Theory, Evidence, and Speculation 2011Market Expectations in the Cross Section of Present Values 2008Viewpoint: Estimating the equity premium 2012Predicting Market Returns Using Aggregate Implied Cost of Capital 2015Stock return predictability and determinants of predictability and profits 2008Multiple-Predictor Regressions: Hypothesis Testing 2009Predictive Regressions with Time-Varying Coefficients