Simultaneous Estimation of Cost of Equity and Expected Earnings of Individual Firms with the Residual Income Model
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Tetsuya Adachi & Takashi Asano & Tatsushi Okuda, 2016. "Simultaneous Estimation of Cost of Equity and Expected Earnings of Individual Firms with the Residual Income Model," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 34, pages 1-38, November.
References listed on IDEAS
- Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. "Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-1764, December.
- James A. Ohlson, 1991. "The theory of value and earnings, and an introduction to the Ball†Brown analysis," Contemporary Accounting Research, John Wiley & Sons, vol. 8(1), pages 1-19, September.
- Kothari, S. P. & Shanken, Jay, 1997. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," Journal of Financial Economics, Elsevier, vol. 44(2), pages 169-203, May.
- John Y. Campbell, Robert J. Shiller, 1988.
"The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,"
Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
- John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
- Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
- Campbell, John Y. & Yogo, Motohiro, 2006.
"Efficient tests of stock return predictability,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
- John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers 1972, Harvard - Institute of Economic Research.
- Campbell, John & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Scholarly Articles 3122601, Harvard University Department of Economics.
- John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.
- Richard D. F. Harris, 1999. "The Accuracy, Bias and Efficiency of Analysts’ Long Run Earnings Growth Forecasts," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(5‐6), pages 725-755, June.
- JULES H. Van BINSBERGEN & RALPH S. J. KOIJEN, 2010.
"Predictive Regressions: A Present‐Value Approach,"
Journal of Finance, American Finance Association, vol. 65(4), pages 1439-1471, August.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2010. "Predictive Regressions: A Present-value Approach," NBER Working Papers 16263, National Bureau of Economic Research, Inc.
- Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2012.
"The implied cost of capital: A new approach,"
Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 504-526.
- Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2010. "The Implied Cost of Capital: A New Approach," Working Paper Series 2010-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Maio, Paulo & Santa-Clara, Pedro, 2015. "Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(1-2), pages 33-60, April.
- Bhandari, Laxmi Chand, 1988. " Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence," Journal of Finance, American Finance Association, vol. 43(2), pages 507-528, June.
- James Claus & Jacob Thomas, 2001. "Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets," Journal of Finance, American Finance Association, vol. 56(5), pages 1629-1666, October.
- Jung, Boochun & Shane, Philip B. & Sunny Yang, Yanhua, 2012. "Do financial analysts' long-term growth forecasts matter? Evidence from stock recommendations and career outcomes," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 55-76.
- La Porta, Rafael, 1996. "Expectations and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 51(5), pages 1715-1742, December.
- Leonard, William N, 1971. "Research and Development in Industrial Growth," Journal of Political Economy, University of Chicago Press, vol. 79(2), pages 232-256, March-Apr.
- Fernandez, Pablo & del Campo, Javier, 2011. "Market risk premium used in 2010 by analysts and companies: A survey with 2.400 answers," IESE Research Papers D/912, IESE Business School.
- Christine A. Botosan & Marlene A. Plumlee & HE Wen, 2011. "The Relation between Expected Returns, Realized Returns, and Firm Risk Characteristics," Contemporary Accounting Research, John Wiley & Sons, vol. 28(4), pages 1085-1122, December.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Fernandez, Pablo & del Campo, Javier, 2011. "Market risk premium used in 2010 by professors: A survey with 1,500 answers," IESE Research Papers D/911, IESE Business School.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
- Dechow, Patricia M. & Sloan, Richard G., 1997. "Returns to contrarian investment strategies: Tests of naive expectations hypotheses," Journal of Financial Economics, Elsevier, vol. 43(1), pages 3-27, January.
- Harrison Hong & Jeffrey D. Kubik, 2003. "Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts," Journal of Finance, American Finance Association, vol. 58(1), pages 313-351, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jan A. Kempkes & Francesco Suprano & Andreas Wömpener, 2023. "An empirical evaluation of dynamic approaches for estimating firms’ expected cost of equity capital," The Financial Review, Eastern Finance Association, vol. 58(4), pages 859-886, November.
- Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
- Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
- David Schröder & Florian Esterer, 2016. "A New Measure of Equity and Cash Flow Duration: The Duration‐Based Explanation of the Value Premium Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(5), pages 857-900, August.
- Yu, Jialin, 2011. "Disagreement and return predictability of stock portfolios," Journal of Financial Economics, Elsevier, vol. 99(1), pages 162-183, January.
- Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2012.
"The implied cost of capital: A new approach,"
Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 504-526.
- Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2010. "The Implied Cost of Capital: A New Approach," Working Paper Series 2010-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2017. "Research in finance: A review of influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 188-199.
- Terry Shevlin, 2013. "Some personal observations on the debate on the link between financial reporting quality and the cost of equity capital," Australian Journal of Management, Australian School of Business, vol. 38(3), pages 447-473, December.
- repec:wyi:journl:002108 is not listed on IDEAS
- Philip Gharghori & Sebastian Stryjkowski & Madhu Veeraraghavan, 2013. "Value versus growth: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 393-417, June.
- Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019.
"Which Factors?,"
Review of Finance, European Finance Association, vol. 23(1), pages 1-35.
- Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2014. "Which Factors?," NBER Working Papers 20682, National Bureau of Economic Research, Inc.
- Mohsen Jafarian & Fauzias Mat Nor & Izani Ibrahim, 2018. "The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change," Capital Markets Review, Malaysian Finance Association, vol. 26(1), pages 56-72.
- Kim, Dongcheol & Kim, Tong Suk & Min, Byoung-Kyu, 2011. "Future labor income growth and the cross-section of equity returns," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 67-81, January.
- Frank Ecker & Jennifer Francis & Per Olsson & Katherine Schipper, 2021. "Non-random sampling and association tests on realized returns and risk proxies," Review of Accounting Studies, Springer, vol. 26(2), pages 772-814, June.
- Jennifer Conrad & Michael Cooper & Gautam Kaul, 2003. "Value versus Glamour," Journal of Finance, American Finance Association, vol. 58(5), pages 1969-1996, October.
- Schröder, David & Esterer, Florian, 2012. "A new measure of equity duration: The duration-based explanation of the value premium revisited," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62077, Verein für Socialpolitik / German Economic Association.
- Nitschka, Thomas, 2006. "Does sensitivity to cashflow news explain the value premium on European stock markets?," Technical Reports 2006,12, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
- Pandey I M, 2001. "The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis," IIMA Working Papers WP2001-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Balakrishnan, Karthik & Shivakumar, Lakshmanan & Taori, Peeyush, 2021. "Analysts’ estimates of the cost of equity capital," Journal of Accounting and Economics, Elsevier, vol. 71(2).
- Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," SSE/EFI Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004.
More about this item
Keywords
Implied cost of equity; Residual income model; Quasi-maximum likelihood approach;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
- M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ime:imedps:16-e-09. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kinken (email available below). General contact details of provider: https://edirc.repec.org/data/imegvjp.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.