Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
نویسندگان
چکیده
منابع مشابه
Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we construct the time series of the implied cost of capital for the G-7 countries. We find strong suppo...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.873631