return decomposition
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2020 ◽  
Vol 343 (9) ◽  
pp. 111995 ◽  
Author(s):  
Jean-Luc Baril ◽  
Richard Genestier ◽  
Sergey Kirgizov

2019 ◽  
Vol 8 (3) ◽  
pp. 103
Author(s):  
May Xiaoyan Bao ◽  
Xiaoyan Cheng ◽  
John Geppert ◽  
David B. Smith

In this study we investigate whether accrual quality is a factor in capital asset pricing. Our analysis consists of two parts. First, we use a panel data regression that controls for cross-section fixed effects to implement the second stage of the Fama-MacBeth regression (Petersen 2009). In the second part, we use the Campbell (1991) return decomposition and vector autoregressive model (VAR) to decompose the two-stage cross-sectional regressions. This allows us to investigate whether accrual quality is a priced factor in terms of the three components of the return, which include one-period expected return, cash flow news and discount-rate news. 


2018 ◽  
Vol 54 (1) ◽  
pp. 335-368 ◽  
Author(s):  
Petko S. Kalev ◽  
Konark Saxena ◽  
Leon Zolotoy

We develop an intertemporal asset pricing model where cash-flow news, discount-rate news, and their second moments are priced by the market. This model generalizes the market-return decomposition framework, showing that intertemporal considerations imply a decomposition of squared market returns (coskewness risk). Our model accounts for 68% of the return variation across portfolios sorted by size, book-to-market ratio, momentum, investment, and profitability for a modern U.S. sample period. Further, our findings highlight the importance of covariation risk, that is, the risk of simultaneous unfavorable shocks to cash flows and discount rates, in understanding equity risk premia.


2018 ◽  
Vol 341 (6) ◽  
pp. 1620-1628 ◽  
Author(s):  
Jean-Luc Baril ◽  
Sergey Kirgizov ◽  
Armen Petrossian

2017 ◽  
Vol 38 (5) ◽  
pp. 487-508 ◽  
Author(s):  
Stanislav Anatolyev ◽  
Nikolay Gospodinov

2017 ◽  
Vol 26 (2) ◽  
pp. 78-90
Author(s):  
Robert Brooks ◽  
Kate Upton

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