메뉴 건너뛰기




Volumn 27, Issue 9-10, 2000, Pages 1051-1083

Estimating the equity risk premium using accounting fundamentals

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0009912752     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00346     Document Type: Conference Paper
Times cited : (46)

References (59)
  • 1
    • 21844484174 scopus 로고
    • Exact solutions for expected rates of return under Markov regime switching: Implications for the equity premium puzzle
    • Abel, A. (1994), 'Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle', Journal of Money Credit and Banking, Vol. 26, pp. 345-61.
    • (1994) Journal of Money Credit and Banking , vol.26 , pp. 345-361
    • Abel, A.1
  • 3
    • 84906006114 scopus 로고
    • Myopic loss aversion and the equity premium puzzle
    • Benartzi, S. and R. Thaler (1995), 'Myopic Loss Aversion and the Equity Premium Puzzle', Quarterly Journal of Economics, Vol. 110, pp. 73-92.
    • (1995) Quarterly Journal of Economics , vol.110 , pp. 73-92
    • Benartzi, S.1    Thaler, R.2
  • 4
    • 38249019161 scopus 로고
    • Leverage, time preference and the equity premium puzzle
    • Benninga, S. and A. Protopapadakis (1990), 'Leverage, Time Preference and the Equity Premium Puzzle', Journal of Monetary Economics, Vol. 25, pp. 49-58.
    • (1990) Journal of Monetary Economics , vol.25 , pp. 49-58
    • Benninga, S.1    Protopapadakis, A.2
  • 5
    • 84984174894 scopus 로고
    • The feltham-ohlson framework: Implications for empiricists
    • Bernard, V. (1995), 'The Feltham-Ohlson Framework: Implications for Empiricists', Contemporary Accounting Research, Vol. 11, pp. 733-47.
    • (1995) Contemporary Accounting Research , vol.11 , pp. 733-747
    • Bernard, V.1
  • 6
    • 0001780850 scopus 로고
    • The magic in earnings: Economic earnings versus accounting earnings
    • November/December
    • Black, F. (1980), 'The Magic in Earnings: Economic Earnings Versus Accounting Earnings', Financial Analysts Journal (November/December), pp. 19-24.
    • (1980) Financial Analysts Journal , pp. 19-24
    • Black, F.1
  • 9
    • 38249005063 scopus 로고
    • The equity premium and the risk-free rate: Matching the moments
    • Cecchetti, S., P. Lam and N. Mark (1993), 'The Equity Premium and the Risk-free Rate: Matching the Moments', Journal of Monetary Economics, Vol. 31, pp. 21-45.
    • (1993) Journal of Monetary Economics , vol.31 , pp. 21-45
    • Cecchetti, S.1    Lam, P.2    Mark, N.3
  • 10
    • 77951882135 scopus 로고    scopus 로고
    • Measuring risk premia using earnings forecasts: An international analysis
    • Claus, J. and J. Thomas (1997), 'Measuring Risk Premia Using Earnings Forecasts: An International Analysis', Working Paper (Columbia Business School).
    • (1997) Working Paper, Columbia Business School
    • Claus, J.1    Thomas, J.2
  • 11
    • 0033434674 scopus 로고    scopus 로고
    • Equity valuation and negative earnings
    • Collins, D., M. Pincus and H. Xie (1999), 'Equity Valuation and Negative Earnings', The Accounting Review. Vol. 74, pp. 29-61.
    • (1999) The Accounting Review , vol.74 , pp. 29-61
    • Collins, D.1    Pincus, M.2    Xie, H.3
  • 12
    • 84935322716 scopus 로고
    • Habit formation: A resolution of the equity premium puzzle
    • Constantinides, G. (1990), 'Habit Formation: A Resolution of the Equity Premium Puzzle', Journal of Political Economy, Vol. 98, pp. 519-43.
    • (1990) Journal of Political Economy , vol.98 , pp. 519-543
    • Constantinides, G.1
  • 14
    • 0002250074 scopus 로고    scopus 로고
    • An empirical assessment of the residual income valuation model
    • Dechow, P., A. Hutton and R. Sloan (1999), 'An Empirical Assessment of the Residual Income Valuation Model', Journal of Accounting and Economics, Vol. 26, pp. 1-34.
    • (1999) Journal of Accounting and Economics , vol.26 , pp. 1-34
    • Dechow, P.1    Hutton, A.2    Sloan, R.3
  • 15
    • 33749638253 scopus 로고
    • Risk measurement when shares are subject to infrequent trading
    • Dimson, E. (1979), 'Risk Measurement When Shares are Subject to Infrequent Trading', Journal of Financial Economics, Vol. 7, pp. 197-226.
    • (1979) Journal of Financial Economics , vol.7 , pp. 197-226
    • Dimson, E.1
  • 17
    • 0000942731 scopus 로고
    • Aggregate accounting earnings can explain most of security returns
    • Easton, P., T. Harris and J. Ohlson (1992), 'Aggregate Accounting Earnings Can Explain Most of Security Returns', Journal of Accounting and Economics, Vol. 15, pp. 119-42.
    • (1992) Journal of Accounting and Economics , vol.15 , pp. 119-142
    • Easton, P.1    Harris, T.2    Ohlson, J.3
  • 19
    • 38249016161 scopus 로고
    • First order risk aversion and the equity premium puzzle
    • Epstein, L. and S. Zin (1991), 'First Order Risk Aversion and the Equity Premium Puzzle', Journal of Monetary Economics, Vol. 26, pp. 387-407.
    • (1991) Journal of Monetary Economics , vol.26 , pp. 387-407
    • Epstein, L.1    Zin, S.2
  • 20
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. and K. French (1992), 'The Cross-section of Expected Stock Returns', Journal of Finance, Vol. 47, pp. 427-65.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.1    French, K.2
  • 21
    • 84984207803 scopus 로고
    • Valuation and clean surplus accounting for operating and financial activities
    • Feltham, G. and J. Ohlson (1995), 'Valuation and Clean Surplus Accounting for Operating and Financial Activities', Contemporary Accounting Research, Vol. 11, pp. 689-731.
    • (1995) Contemporary Accounting Research , vol.11 , pp. 689-731
    • Feltham, G.1    Ohlson, J.2
  • 22
    • 0030305052 scopus 로고    scopus 로고
    • Uncertainty resolution and the theory of depreciation measurement
    • - (1996), 'Uncertainty Resolution and the Theory of Depreciation Measurement', Journal of Accounting Research, Vol. 34, pp. 209-34.
    • (1996) Journal of Accounting Research , vol.34 , pp. 209-234
  • 23
    • 0042334065 scopus 로고
    • Risk measurement when shares are subject to infrequent trading: Comment
    • Fowler, D. and C. Rorke (1983), 'Risk Measurement When Shares are Subject to Infrequent Trading: Comment', Journal of Financial Economics, Vol. 12, pp. 279-83.
    • (1983) Journal of Financial Economics , vol.12 , pp. 279-283
    • Fowler, D.1    Rorke, C.2
  • 24
    • 0000099171 scopus 로고
    • The frequency distribution of the quotient of two normal variates
    • Geary, R. (1930). 'The Frequency Distribution of the Quotient of Two Normal Variates', Journal of the Royal Statistical Society, Vol. 93, pp. 442-46.
    • (1930) Journal of the Royal Statistical Society , vol.93 , pp. 442-446
    • Geary, R.1
  • 26
    • 34447252929 scopus 로고
    • The equity risk premium and the cost of capital debate in the UK regulated utilities
    • Oxford
    • Jenkinson, T. (1994), 'The Equity Risk Premium and the Cost of Capital Debate in the UK Regulated Utilities', Working Paper (Keble College, Oxford).
    • (1994) Working Paper, Keble College
    • Jenkinson, T.1
  • 28
    • 84993839726 scopus 로고
    • Portfolio inefficiency and the cross-section of expected returns
    • Kandel, S. and R. Stambaugh (1995), 'Portfolio Inefficiency and the Cross-section of Expected Returns', Journal of Finance, Vol. 50, pp. 157-84.
    • (1995) Journal of Finance , vol.50 , pp. 157-84
    • Kandel, S.1    Stambaugh, R.2
  • 29
    • 0002426025 scopus 로고    scopus 로고
    • The equity premium: It's still a puzzle
    • Kocherlakota, N. (1996), 'The Equity Premium: It's Still a Puzzle', Journal of Economic Literature, Vol. 34, pp. 42-71.
    • (1996) Journal of Economic Literature , vol.34 , pp. 42-71
    • Kocherlakota, N.1
  • 30
    • 0001378029 scopus 로고
    • Asset pricing with undiversifiable risk and short sales constraints: Deepening the equity premium puzzle
    • Lucas, D. (1994), 'Asset Pricing with Undiversifiable Risk and Short Sales Constraints: Deepening the Equity Premium Puzzle', Journal of Monetary Economics, Vol. 34, pp. 325-42.
    • (1994) Journal of Monetary Economics , vol.34 , pp. 325-342
    • Lucas, D.1
  • 31
    • 84984167307 scopus 로고
    • A tutorial on the Ohlson and Feltham/Ohlson models: Answers to some frequently asked questions
    • Lundholm, R. (1995), 'A Tutorial on the Ohlson and Feltham/Ohlson Models: Answers to Some Frequently Asked Questions', Contemporary Accounting Research, Vol. 11, pp. 749-61.
    • (1995) Contemporary Accounting Research , vol.11 , pp. 749-761
    • Lundholm, R.1
  • 32
    • 0000339532 scopus 로고
    • The equity premium and the concentration of aggregate shocks
    • Mankiw, N. (1986), 'The Equity Premium and the Concentration of Aggregate Shocks', Journal of Financial Economics, Vol. 17, pp. 211-19.
    • (1986) Journal of Financial Economics , vol.17 , pp. 211-219
    • Mankiw, N.1
  • 35
    • 45549119892 scopus 로고
    • The equity risk premium: A solution?
    • Mehra, R. and E. Prescott (1988), 'The Equity Risk Premium: A Solution?' Journal of Monetary Economics, Vol. 22, pp. 133-36.
    • (1988) Journal of Monetary Economics , vol.22 , pp. 133-136
    • Mehra, R.1    Prescott, E.2
  • 36
    • 0001699517 scopus 로고
    • Dividend policy, growth and the valuation of shares
    • Miller, M. and F. Modigliani (1961), 'Dividend Policy, Growth and the Valuation of Shares', Journal of Business, Vol. 34, pp. 411-33.
    • (1961) Journal of Business , vol.34 , pp. 411-433
    • Miller, M.1    Modigliani, F.2
  • 37
    • 0003843223 scopus 로고
    • Monopolies and Mergers Commission (MMC), Volumes 2 and 3 of Reports under the Gas and Fair Trading Acts (Her Majesty's Stationery Office)
    • Monopolies and Mergers Commission (MMC), (1993), Gas and British Gas plc, Volumes 2 and 3 of Reports under the Gas and Fair Trading Acts (Her Majesty's Stationery Office).
    • (1993) Gas and British Gas Plc
  • 42
    • 0033456118 scopus 로고    scopus 로고
    • Implementing residual income valuation with linear information dynamics
    • Myers, J. (1999), 'Implementing Residual Income Valuation with Linear Information Dynamics', The Accounting Review, Vol. 74, pp. 1-28.
    • (1999) The Accounting Review , vol.74 , pp. 1-28
    • Myers, J.1
  • 43
    • 33748691500 scopus 로고    scopus 로고
    • The time series properties of the components of clean surplus earnings: Uk evidence
    • O'Hanlon, J. (1996), 'The Time Series Properties of the Components of Clean Surplus Earnings: UK Evidence', Journal of Business Finance & Accounting, Vol. 23, No. 2 (March), pp. 159-83.
    • (1996) Journal of Business Finance & Accounting , vol.23 , Issue.2 MARCH , pp. 159-183
    • O'Hanlon, J.1
  • 44
    • 0012844466 scopus 로고    scopus 로고
    • The value-relevance of UK dirty surplus accounting flows
    • - and P. Pope (1999), 'The Value-relevance of UK Dirty Surplus Accounting Flows', British Accounting Review, Vol. 13, pp. 459-82.
    • (1999) British Accounting Review , vol.13 , pp. 459-482
    • Pope, P.1
  • 45
    • 77951578851 scopus 로고
    • Links between accounting numbers and economic fundamentals
    • B. Rees (2nd ed.), (Prentice-Hall)
    • - and B. Rees (1995), 'Links Between Accounting Numbers and Economic Fundamentals', in B. Rees (2nd ed.) Financial Analysis (Prentice- Hall).
    • (1995) Financial Analysis
    • Rees, B.1
  • 46
    • 0003213846 scopus 로고
    • Accounting earnings, book value and dividends: The theory of the clean surplus equation (Part I)
    • reproduced in R. Brief and K. Peasnell (eds.), (Garland)
    • Ohlson, J. (1989), 'Accounting Earnings, Book Value and Dividends: The Theory of the Clean Surplus Equation (Part I)', reproduced in R. Brief and K. Peasnell (eds.) Clean Surplus: A Link Between Accounting and Finance (Garland), pp. 167-227.
    • (1989) Clean Surplus: A Link between Accounting and Finance , pp. 167-227
    • Ohlson, J.1
  • 47
    • 84984268939 scopus 로고
    • A synthesis of security valuation theory and the role of dividends, cash flows and earnings
    • - (1990), 'A Synthesis of Security Valuation Theory and the Role of Dividends, Cash Flows and Earnings', Contemporary Accounting Research, Vol. 6, pp. 648-76.
    • (1990) Contemporary Accounting Research , vol.6 , pp. 648-676
  • 48
    • 84984180909 scopus 로고
    • Earnings, book values and dividends in equity valuation
    • - (1995), 'Earnings, Book Values and Dividends in Equity Valuation', Contemporary Accounting Research, Vol. 11, pp. 661-87.
    • (1995) Contemporary Accounting Research , vol.11 , pp. 661-687
  • 49
    • 84978544729 scopus 로고
    • Some formal connections between economic values and yields in accounting numbers
    • Peasnell, K. V. (1982), 'Some Formal Connections Between Economic Values and Yields in Accounting Numbers', Journal of Business Finance & Accounting, Vol. 9, No. 3 (Autumn), pp. 361-81.
    • (1982) Journal of Business Finance & Accounting , vol.9 , Issue.3 AUTUMN , pp. 361-381
    • Peasnell, K.V.1
  • 50
    • 20144365034 scopus 로고    scopus 로고
    • International differences in the timeliness, conservatism and classification of earnings
    • Pope, P. and M. Walker (1999), 'International Differences in the Timeliness, Conservatism and Classification of Earnings', Journal of Accounting Research, Vol. 36, pp. 53-100.
    • (1999) Journal of Accounting Research , vol.36 , pp. 53-100
    • Pope, P.1    Walker, M.2
  • 51
    • 45549121696 scopus 로고
    • The equity risk premium: A solution
    • Rietz, T. (1988), 'The Equity Risk Premium: A Solution', Journal of Monetary Economics, Vol. 22, pp. 117-31.
    • (1988) Journal of Monetary Economics , vol.22 , pp. 117-131
    • Rietz, T.1
  • 52
    • 0039473752 scopus 로고
    • A critique of the asset pricing theory's tests
    • Roll, R. (1977), ' A Critique of the Asset Pricing Theory's Tests', Journal of Financial Economics, Vol. 4, pp. 129-79.
    • (1977) Journal of Financial Economics , vol.4 , pp. 129-179
    • Roll, R.1
  • 53
    • 77951529315 scopus 로고
    • The cost of equity capital and the risk premium on equities
    • Scott, N. (1992), 'The Cost of Equity Capital and the Risk Premium on Equities', Applied Financial Economics, Vol. 2, pp. 21-32.
    • (1992) Applied Financial Economics , vol.2 , pp. 21-32
    • Scott, N.1
  • 56
    • 84888628139 scopus 로고
    • The relationship between returns and earnings: Evidence for the UK
    • Strong, N. (1993), 'The Relationship Between Returns and Earnings: Evidence for the UK', Accounting and Business Research, Vol. 24, pp. 69-77.
    • (1993) Accounting and Business Research , vol.24 , pp. 69-77
    • Strong, N.1
  • 57
    • 0001079554 scopus 로고    scopus 로고
    • The Garman-Ohlson structural system
    • Tippett, M. and T. Warnock (1997), 'The Garman-Ohlson Structural System', Journal of Business Finance & Accounting, Vol. 24, Nos 7 & 8 (September), pp. 1075-110.
    • (1997) Journal of Business Finance & Accounting , vol.24 , Issue.7-8 SEPTEMBER , pp. 1075-1110
    • Tippett, M.1    Warnock, T.2
  • 58
    • 38249004563 scopus 로고
    • The equity premium puzzle and the risk-free rate puzzle
    • Weil, P. (1989), 'The Equity Premium Puzzle and the Risk-free Rate Puzzle', Journal of Monetary Economics, Vol. 24, pp. 401-21.
    • (1989) Journal of Monetary Economics , vol.24 , pp. 401-421
    • Weil, P.1
  • 59
    • 0000095552 scopus 로고
    • A heteroscedasticity-consistent covariance estimator and a direct test for heteroscedasticity
    • White, H. (1980), 'A Heteroscedasticity-consistent Covariance Estimator and a Direct Test for Heteroscedasticity', Econometrica, Vol. 48, pp. 817-38.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.