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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w10131 |
来源ID | Working Paper 10131 |
The Price is (Almost) Right | |
Randolph B. Cohen; Christopher Polk; Tuomo Vuolteenaho | |
发表日期 | 2003-12-08 |
出版年 | 2003 |
语种 | 英语 |
摘要 | Most previous research tests market efficiency and asset pricing models using average abnormal trading profits on dynamic trading strategies, and typically rejects the joint hypothesis. In contrast, we measure the ability of a simple risk model and the efficient-market hypothesis to explain the level of stock prices. First, we find that cash-flow betas (measured by regressing firms' earnings on the market's earnings) explain the prices of value and growth stocks well, with a plausible premium. Second, we use a present-value model to decompose the cross-sectional variance of firms' price-to-book ratios into two components due to risk-adjusted fundamental value and mispricing. When we allow the discount rates to vary with cash-flow betas, the variance share of mispricing is negligible. |
主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
URL | https://www.nber.org/papers/w10131 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567759 |
推荐引用方式 GB/T 7714 | Randolph B. Cohen,Christopher Polk,Tuomo Vuolteenaho. The Price is (Almost) Right. 2003. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w10131.pdf(553KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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