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Evaluating cross-sectional forecasting models for implied cost of capital
16 references·16 citing·29 second hopsampled
Evaluating cross-sectional forecasting models for implied cost of capital (2014)Evaluating cross-sectional forecasting mo…Profitability, investment and average returns (2006)Profitability, investment and…Expected EPS and EPS Growth as Determinantsof Value (2005)Expected EPS and EPS Growth a…Accrual reliability, earnings persistence and stock prices (2005)Accrual reliability, earnings…PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)PE Ratios, PEG Ratios, and Es…Industry Concentration and Average Stock Returns (2003)Industry Concentration and Av…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 equityFundamental Analysis, Future Earnings, and Stock Prices (1997)Fundamental Analysis, Future …Valuation and Clean Surplus Accounting for Operating and Financial Activities* (1995)Valuation and Clean Surplus A…Earnings, Book Values, and Dividends in Equity Valuation* (1995)Earnings, Book Values, and Di…Accounting earnings and cash flows as measures of firm performance (1994)Accounting earnings and cash …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Theory and Measurement of Business Income (1961)The Theory and Measurement of…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …Predicting Future Earnings Changes Using Machine Learning and Detailed Financial Data (2022)Predicting Future Earnings Ch…Do Political Connections Induce More or Less Opportunistic Financial Reporting? Evidence from Close Elections Involving SEC ‐Influential Politicians* (2021)Do Political Connections Indu…Controlling shareholder share pledging and the cost of equity capital: Evidence from China (2021)Controlling shareholder share…Asset productivity, local information diffusion, and commercial real estate returns (2021)Asset productivity, local inf…Understanding the Determinants of Analyst Target Price Implied Returns (2020)Understanding the Determinant…Cultural diversity on Wall Street: Evidence from consensus earnings forecasts (2020)Cultural diversity on Wall St…Corporate governance and cost of capital in OECD countries (2020)Corporate governance and cost…Analysts’ Estimates of the Cost of Equity Capital (2020)Analysts’ Estimates of the Co…Where Is the Risk in Value? Evidence from a Market‐to‐Book Decomposition (2019)Where Is the Risk in Value? E…The effect of real earnings management on the persistence and informativeness of earnings (2019)The effect of real earnings m…Political risk and cost of equity: The mediating role of political connections (2019)Political risk and cost of eq…Valuation: Accounting for Risk and the Expected Return (2016)Valuation: Accounting for Ris…Revisiting the Effect of Family Involvement on Corporate Social Responsibility: A Behavioral Agency Perspective (2016)Revisiting the Effect of Fami…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 …Environmental Sustainability and Implied Cost of Equity: International Evidence (2015)Environmental Sustainability …Evaluating Implied Cost of Capital Estimates (2011)Evaluating Implied Cost of Ca…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)How do family ownership, control and management affect firm value? (2005)Measuring Geopolitical Risk (2022)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)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)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)The cost of capital, corporation finance and the theory of investment (2008)The equity premium: A puzzle (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Disclosure level and the cost of equity capital. (1997)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)Earnings Management During Import Relief Investigations (1991)Detecting Earnings Management. (1995)The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors (2002)Earnings management and investor protection: an international comparison (2003)The economic implications of corporate financial reporting (2005)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Environmental and social disclosures: Link with corporate financial performance (2014)
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References

  • 1992The Cross-Section of Expected Stock Returns17,320 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1997Industry costs of equity5,793 cited
  • 1995Earnings, Book Values, and Dividends in Equity Valuation*5,061 cited
  • 1994Accounting earnings and cash flows as measures of firm performance2,584 cited
  • 1995Valuation and Clean Surplus Accounting for Operating and Financial Activities*2,224 cited
  • 2001Toward an Implied Cost of Capital2,004 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 Markets1,516 cited
  • 2005Accrual reliability, earnings persistence and stock prices1,495 cited
  • 2005Expected EPS and EPS Growth as Determinantsof Value1,414 cited
  • 1961The Theory and Measurement of Business Income970 cited
  • 2006Profitability, investment and average returns953 cited
  • 2003Industry Concentration and Average Stock Returns923 cited

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  • 1997Fundamental Analysis, Future Earnings, and Stock Prices862 cited
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    • 2022Predicting Future Earnings Changes Using Machine Learning and Detailed Financial Data165 cited
    • 2019Political risk and cost of equity: The mediating role of political connections151 cited
    • 2015Environmental Sustainability and Implied Cost of Equity: International Evidence133 cited
    • 2020Cultural diversity on Wall Street: Evidence from consensus earnings forecasts109 cited
    • 2016Revisiting the Effect of Family Involvement on Corporate Social Responsibility: A Behavioral Agency Perspective107 cited
    • 2019The effect of real earnings management on the persistence and informativeness of earnings106 cited
    • 2019Where Is the Risk in Value? Evidence from a Market‐to‐Book Decomposition90 cited
    • 2011Evaluating Implied Cost of Capital Estimates76 cited
    • 2021Controlling shareholder share pledging and the cost of equity capital: Evidence from China61 cited
    • 2016Valuation: Accounting for Risk and the Expected Return55 cited
    • 2020Understanding the Determinants of Analyst Target Price Implied Returns49 cited
    • 2020Analysts’ Estimates of the Cost of Equity Capital42 cited
    • 2015Review of Recent Research on Improving Earnings Forecasts and Evaluating Accounting-Based Estimates of the Expected Rate of Return on Equity Capital42 cited
    • 2020Corporate governance and cost of capital in OECD countries41 cited
    • 2021Do Political Connections Induce More or Less Opportunistic Financial Reporting? Evidence from Close Elections Involving SEC ‐Influential Politicians*39 cited
    • 2021Asset productivity, local information diffusion, and commercial real estate returns39 cited