Predicting market returns using aggregate implied cost of capital

Yan Li; David T. Ng; Bhaskaran Swaminathan

首页> 外文期刊>Journal of financial economics >Predicting market returns using aggregate implied cost of capital

【24h】

Predicting market returns using aggregate implied cost of capital

机译：使用总隐含资本成本预测市场回报

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

Theoretically, the implied cost of capital (ICC) is a good proxy for time-varying expected returns. We find that aggregate ICC strongly predicts future excess market returns at horizons ranging from one month to four years. This predictive power persists even in the presence of popular valuation ratios and business cycle variables, both in-sample and out-of-sample, and is robust to alternative implementations. We also find that ICCs of size and book-to-market portfolios predict corresponding portfolio returns.

机译：从理论上讲，隐含资本成本（ICC）是时变期望收益的良好替代。我们发现，总体ICC强烈预测未来超额市场收益的范围为1个月到4年。即使存在流行的估值比率和商业周期变量（样本内和样本外），这种预测能力也仍然存在，并且对于替代实施具有鲁棒性。我们还发现，规模和账面市值投资组合的ICC可以预测相应的投资组合收益。

著录项

来源
《Journal of financial economics》 |2013年第2期|419-436|共18页
作者
Yan Li; David T. Ng; Bhaskaran Swaminathan;
展开▼
作者单位

Department of Finance, Fox School of Business, Temple University, Philadelphia, PA 19122, United States;

Dyson School of Applied Economics and Management, Cornell University, Ithaca, NY 14853, United States;

LSV Asset Management, 155 North Wacker Dr., Chicago, IL 60606, United States;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类
关键词
Implied cost of capital; Market predictability; Valuation ratios;

机译：隐含的资本成本;市场可预测性;估值比率;

相似文献

外文文献
中文文献
专利

1. Predicting stock returns with implied cost of capital: A partial least squares approach [J] . Hoang K., Huang R., Peng X., Journal of Financial Markets . 2021,第Mara期

机译：预测股票回报凭借暗示的资本成本：部分最小二乘法
2. The Complexity of Social Capital: The Influence of Board and Ownership Interlocks on Implied Cost of Capital in an Emerging Market [J] . Rossoni Luciano, Aranha Cezar Eduardo, Mendes-Da-Silva Wesley Complexity . 2018,第1期

机译：社会资本的复杂性：新兴市场中董事会和所有权联锁对隐含资本成本的影响
3. The Complexity of Social Capital: The Influence of Board and Ownership Interlocks on Implied Cost of Capital in an Emerging Market [J] . Rossoni Luciano, Aranha Cezar Eduardo, Mendes-Da-Silva Wesley Complexity . 2018,第2期

机译：社会资本的复杂性：董事会和所有权互锁对新兴市场暗示暗示性成本的影响
4. Institutions, Financial Development, and Corporate Investment: Evidence from an Implied Return on Capital in China [C] . Qiao Liu, Alan Siu 2007 China International Conference in Finance . 2007

机译：机构，金融发展与企业投资：来自中国隐含资本回报的证据
5. Smoothing of pension costs, choice of expected rate of return and capital market consequences. [D] . Hong, Keejae P. 2006

机译：抚平养老金成本，选择预期收益率和资本市场后果。
6. Daily stock index return for the Canadian UK and US equity markets compiled by Morgan Stanley Capital International obtained from Datastream [O] . Leon Li 2018

机译：摩根士丹利资本国际（Morgan Stanley Capital International）编制的加拿大英国和美国股票市场每日股指收益率从Datastream获得
7. Predicting Market Returns Using Aggregate Implied Cost of Capital [O] . Yan Li, David Ng, Bhaskaran Swaminathan 2013

机译：使用总隐含资本成本预测市场回报

Predicting market returns using aggregate implied cost of capital

摘要

著录项

相似文献

相关主题

期刊订阅