The Pricing of Accruals Quality with Expected Returns: Vector Autoregression Return Decomposition Approach
نویسندگان
چکیده
منابع مشابه
The market pricing of accruals quality
We investigate whether investors price accruals quality, our proxy for the information risk associated with earnings. Measuring accruals quality (AQ) as the standard deviation of residuals from regressions relating current accruals to cash flows, we find that poorer AQ is associated with larger costs of debt and equity. This result is consistent across several alternative specifications of the ...
متن کاملReturn Reversals, Idiosyncratic Risk and Expected Returns
Bali and Cakici (2006) find no relation between equally-weighted portfolio returns and idiosyncratic risk, whereas Ang et al. (2006a) report a negative relation between value-weighted portfolio returns and idiosyncratic risk. Our analyses demonstrate that both findings can be explained by short-term monthly return reversals. The abnormal positive returns from taking a long (short) position in t...
متن کاملTesting Asset Pricing Models with Long-Run Expected Returns
We introduce a framework for testing asset pricing models based on their implications for book-to-market ratios. We focus on the performance of beta pricing models, such as the Fama-French ve-factor model. Our tests exploit the fact that book-tomarket ratios represent expectations of long-run cash ows and stock returns. Imposing this relation and a given asset pricing model, we jointly estima...
متن کاملOil dependence, institutional quality and economic growth: A panel vector autoregression approach
Resources are the foundation of economic growth. With speedy economic and population growth, economic growth is facing a scarcity of resources worldwide. Resource-economy co-ordination has become every government’s main focus in reaching strategic development goals in countries that are on the path of rapid economic development. Sustainable economic development in a country requires resources a...
متن کاملExpected Returns, Yield Spreads, and Asset Pricing Tests
We use information contained in yield spreads to recover investors ex ante required rates of return on corporate securities, and then use these ex ante returns to study the pricing of risky assets. Differently from the standard approach, our asset pricing tests do not rely on the use of ex post average equity returns as proxies for expected equity returns. We Þnd that: (i) the market beta play...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Industrial Distribution & Business
سال: 2020
ISSN: 2233-4165,2233-5382
DOI: 10.13106/jidb.2020.vol11.no3.7