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An Accounting-Based Asset Pricing Model and a Fundamental Factor · Study

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ArticleAn Accounting-Based Asset Pricing Model and a Fundamental Factor

Stephen H. Penman2019

OA

Articlegreen2019

An Accounting-Based Asset Pricing Model and a Fundamental Factor

Stephen H. Penman · Julie Zhu

41 citations·0/0 files stored·Journal of Accounting and Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Reporting and Valuation Research

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References

2014A five-factor asset pricing model 1973An Intertemporal Capital Asset Pricing Model 1961Dividend Policy, Growth, and the Valuation of Shares 1995Earnings, Book Values, and Dividends in Equity Valuation*1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities

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2021Asset pricing on earnings announcement days 2021Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk

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Year2019

Typearticle

Published2019-01-01

VenueJournal of Accounting and Economics

ISSN-L0165-4101

Languageen

Citations41

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jacceco.2021.101476

openalex_workW4226083697

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