Future Realized Return, Firm‐specific Risk and the Implied Expected Return

In this paper, I propose a novel approach to derive a firm‐specific measure of expected return. It builds on recent accounting‐based valuation models developed by Clubb (2013) and Ashton and Wang (2013). The measure is intrinsically linked to commonly used financial ratios, including book‐to‐market,...

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Veröffentlicht in:	Abacus (Sydney) 2018-03, Vol.54 (1), p.105-132
1. Verfasser:	Wang, Pengguo
Format:	Artikel
Sprache:	eng
Schlagworte:	Academic staff Capital Earnings Earnings forecasting Earnings forecasts Economic models Expected returns Financial ratios Firm risk characteristics Implied cost of capital Implied risk premium Valuation Valuation methods
Online-Zugang:	Volltext
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