메뉴 건너뛰기




Volumn 68, Issue 5, 2013, Pages 1721-1756

Market expectations in the cross-section of present values

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84883890389     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/jofi.12060     Document Type: Article
Times cited : (396)

References (64)
  • 1
  • 2
    • 84993595830 scopus 로고
    • Some time series properties of accounting income
    • Ball, Ray, and Ross Watts, 1972, Some time series properties of accounting income, Journal of Finance 27, 663-681.
    • (1972) Journal of Finance , vol.27 , pp. 663-681
    • Ball, R.1    Watts, R.2
  • 3
    • 23944484942 scopus 로고    scopus 로고
    • Consumption, dividends, and the cross section of equity returns
    • Bansal, Ravi, Robert Dittmar, and Christian Lundblad, 2005, Consumption, dividends, and the cross section of equity returns, Journal of Finance 60, 1639-1672.
    • (2005) Journal of Finance , vol.60 , pp. 1639-1672
    • Bansal, R.1    Dittmar, R.2    Lundblad, C.3
  • 4
    • 84993918841 scopus 로고
    • No arbitrage and arbitrage pricing: A new approach
    • Bansal, Ravi, and S. Viswanathan, 1993, No arbitrage and arbitrage pricing: A new approach, Journal of Finance 48, 1231-1262.
    • (1993) Journal of Finance , vol.48 , pp. 1231-1262
    • Bansal, R.1    Viswanathan, S.2
  • 5
    • 4344674622 scopus 로고    scopus 로고
    • Risks for the long run: A potential resolution of asset pricing puzzles
    • Bansal, Ravi, and Amir Yaron, 2004, Risks for the long run: A potential resolution of asset pricing puzzles, Journal of Finance 59, 1481-1509.
    • (2004) Journal of Finance , vol.59 , pp. 1481-1509
    • Bansal, R.1    Yaron, A.2
  • 6
    • 0007980113 scopus 로고    scopus 로고
    • Optimal investment, growth options, and security returns
    • Berk, Jonathan, Richard Green, and Vasant Naik, 1999, Optimal investment, growth options, and security returns, Journal of Finance 54, 1553-1607.
    • (1999) Journal of Finance , vol.54 , pp. 1553-1607
    • Berk, J.1    Green, R.2    Naik, V.3
  • 8
    • 0032771542 scopus 로고    scopus 로고
    • By force of habit: A consumption-based explanation of aggregate stock market behavior
    • Campbell, John Y., and James H. Cochrane, 1999, By force of habit: A consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107, 205-251.
    • (1999) Journal of Political Economy , vol.107 , pp. 205-251
    • Campbell, J.Y.1    Cochrane, J.H.2
  • 9
    • 0000007521 scopus 로고
    • The dividend-price ratio and expectations of future dividends and discount factors
    • Campbell, John Y., and Robert Shiller, 1988, The dividend-price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 195-228.
    • (1988) Review of Financial Studies , vol.1 , pp. 195-228
    • Campbell, J.Y.1    Shiller, R.2
  • 10
    • 49449084242 scopus 로고    scopus 로고
    • Predicting excess stock returns out of sample: Can anything beat the historical average?
    • Campbell, John Y., and S. Thompson, 2008, Predicting excess stock returns out of sample: Can anything beat the historical average? Review of Financial Studies 21, 1509-1531.
    • (2008) Review of Financial Studies , vol.21 , pp. 1509-1531
    • Campbell, J.Y.1    Thompson, S.2
  • 12
    • 38349051931 scopus 로고    scopus 로고
    • A comparison of the real-time performance of business cycle dating methods
    • Chauvet, Marcelle, and Jeremy Piger, 2008, A comparison of the real-time performance of business cycle dating methods, Journal of Business and Economic Statistics 26, 42-49.
    • (2008) Journal of Business and Economic Statistics , vol.26 , pp. 42-49
    • Chauvet, M.1    Piger, J.2
  • 13
    • 62749162571 scopus 로고    scopus 로고
    • On the reversal of return and dividend growth predictability: A tale of two periods
    • Chen, Long, 2009, On the reversal of return and dividend growth predictability: A tale of two periods, Journal of Financial Economics 92, 128-151.
    • (2009) Journal of Financial Economics , vol.92 , pp. 128-151
    • Chen, L.1
  • 14
    • 0003047270 scopus 로고    scopus 로고
    • Tests of equal forecast accuracy and encompassing for nested models
    • Clark, Todd, and Michael McCracken, 2001, Tests of equal forecast accuracy and encompassing for nested models, Journal of Econometrics 105, 85-110.
    • (2001) Journal of Econometrics , vol.105 , pp. 85-110
    • Clark, T.1    McCracken, M.2
  • 15
    • 29244443447 scopus 로고    scopus 로고
    • Evaluating direct multistep forecasts
    • Clark, Todd, and Michael McCracken, 2005, Evaluating direct multistep forecasts, Econometric Reviews 24, 369-404.
    • (2005) Econometric Reviews , vol.24 , pp. 369-404
    • Clark, T.1    McCracken, M.2
  • 16
    • 0000286891 scopus 로고
    • Explaining the variance of price-dividend ratios
    • Cochrane, James H., 1992, Explaining the variance of price-dividend ratios, Review of Financial Studies 5, 243-280.
    • (1992) Review of Financial Studies , vol.5 , pp. 243-280
    • Cochrane, J.H.1
  • 18
    • 0004291281 scopus 로고    scopus 로고
    • Princeton University Press, Princeton, NJ).
    • Cochrane, John H., 2005, Asset Pricing (Princeton University Press, Princeton, NJ).
    • (2005) Asset Pricing
    • Cochrane, J.H.1
  • 19
    • 49449103299 scopus 로고    scopus 로고
    • The dog that did not bark: A defense of return predictability
    • Cochrane, John H., 2008, The dog that did not bark: A defense of return predictability, Review of Financial Studies 21, 1533-1575.
    • (2008) Review of Financial Studies , vol.21 , pp. 1533-1575
    • Cochrane, J.H.1
  • 20
    • 79960550629 scopus 로고    scopus 로고
    • Discount rates
    • Cochrane, John H., 2011, Discount rates, Journal of Finance 66, 1047-1108.
    • (2011) Journal of Finance , vol.66 , pp. 1047-1108
    • Cochrane, J.H.1
  • 21
    • 0002498759 scopus 로고
    • A unified beta pricing theory
    • Connor, Gregory, 1984, A unified beta pricing theory, Journal of Economic Theory 34, 13-31.
    • (1984) Journal of Economic Theory , vol.34 , pp. 13-31
    • Connor, G.1
  • 22
  • 23
    • 84883860050 scopus 로고    scopus 로고
    • A model of time-varying risk premia with habits and production, Working paper, Harvard University.
    • Dew-Becker, Ian, 2012, A model of time-varying risk premia with habits and production, Working paper, Harvard University.
    • (2012)
    • Dew-Becker, I.1
  • 24
    • 0002056097 scopus 로고
    • Dividend yields and expected stock returns
    • Fama, Eugene F., and Kenneth R. French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3-25.
    • (1988) Journal of Financial Economics , vol.22 , pp. 3-25
    • French, F.E.F.A.K.R.1
  • 25
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 26
    • 11544342489 scopus 로고    scopus 로고
    • Value versus growth: The international evidence
    • Fama, Eugene F., and Kenneth R. French, 1998, Value versus growth: The international evidence, Journal of Finance 53, 1975-1999.
    • (1998) Journal of Finance , vol.53 , pp. 1975-1999
    • Fama, E.F.1    French, K.R.2
  • 27
    • 0040805996 scopus 로고    scopus 로고
    • Forecasting profitability and earnings
    • Fama, Eugene F., and Kenneth R. French, 2000, Forecasting profitability and earnings, Journal of Business 73, 161-175.
    • (2000) Journal of Business , vol.73 , pp. 161-175
    • Fama, E.F.1    French, K.R.2
  • 28
    • 0003164748 scopus 로고    scopus 로고
    • Disappearing dividends: Changing firm characteristics or lower propensity to pay?
    • Fama, Eugene F., and Kenneth R. French, 2001, Disappearing dividends: Changing firm characteristics or lower propensity to pay? Journal of Financial Economics 60, 3-43.
    • (2001) Journal of Financial Economics , vol.60 , pp. 3-43
    • Fama, E.F.1    French, K.R.2
  • 29
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama, Eugene F., and James D. MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.F.1    MacBeth, J.D.2
  • 30
    • 84934453931 scopus 로고
    • The variation of economic risk premiums
    • Ferson, Wayne, and Campbell Harvey, 1991, The variation of economic risk premiums, Journal of Political Economy 99, 385-415.
    • (1991) Journal of Political Economy , vol.99 , pp. 385-415
    • Ferson, W.1    Harvey, C.2
  • 31
    • 49449095257 scopus 로고    scopus 로고
    • A comprehensive look at the empirical performance of equity premium prediction
    • Goyal, Amit, and Ivo Welch, 2008, A comprehensive look at the empirical performance of equity premium prediction, Review of Financial Studies 21, 1455-1508.
    • (2008) Review of Financial Studies , vol.21 , pp. 1455-1508
    • Goyal, A.1    Welch, I.2
  • 33
    • 0000425816 scopus 로고
    • Time-varying conditional covariances in tests of asset pricing models
    • Harvey, Campbell, 1989, Time-varying conditional covariances in tests of asset pricing models, Journal of Financial Economics 24, 289-317.
    • (1989) Journal of Financial Economics , vol.24 , pp. 289-317
    • Harvey, C.1
  • 34
    • 0000789996 scopus 로고
    • Dividend yields and expected stock returns: Alternative procedures for inference and measurement
    • Hodrick, Robert J., 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement, Review of Financial Studies 5, 357-386.
    • (1992) Review of Financial Studies , vol.5 , pp. 357-386
    • Hodrick, R.J.1
  • 35
    • 0001033261 scopus 로고
    • Robust regression: Asymptotics, conjectures and Monte Carlo
    • Huber, Peter J., 1973, Robust regression: Asymptotics, conjectures and Monte Carlo, Annals of Statistics 1, 799-821.
    • (1973) Annals of Statistics , vol.1 , pp. 799-821
    • Huber, P.J.1
  • 36
    • 84883880100 scopus 로고    scopus 로고
    • Out-of-sample forecast tests robust to the choice of window size, Working papers 8542, C.E.P.R.
    • Inoue, Atsushi, and Barbara Rossi, 2011, Out-of-sample forecast tests robust to the choice of window size, Working papers 8542, C.E.P.R.
    • (2011)
    • Inoue, A.1    Rossi, B.2
  • 37
    • 84883866503 scopus 로고    scopus 로고
    • Long run risks and price/dividend ratio factors, Working paper, Northwestern University.
    • Jagannathan, Ravi, and Srikant Marakani, 2011, Long run risks and price/dividend ratio factors, Working paper, Northwestern University.
    • (2011)
    • Jagannathan, R.1    Marakani, S.2
  • 38
    • 84883851604 scopus 로고    scopus 로고
    • The three-pass regression filter: A new approach to forecasting with many predictors, Working paper, Chicago Booth.
    • Kelly, Bryan T., and Seth Pruitt, 2012, The three-pass regression filter: A new approach to forecasting with many predictors, Working paper, Chicago Booth.
    • (2012)
    • Kelly, B.T.1    Pruitt, S.2
  • 40
    • 84883854417 scopus 로고    scopus 로고
    • Foreasting dividend growth to better predict returns, Working paper, Chicago Booth.
    • Lacerda, Felipe, and Pedro Santa-Clara, 2010, Foreasting dividend growth to better predict returns, Working paper, Chicago Booth.
    • (2010)
    • Lacerda, F.1    Santa-Clara, P.2
  • 41
    • 0012462939 scopus 로고    scopus 로고
    • Consumption, aggregate wealth, and expected stock returns
    • Lettau, Martin, and Sydney C. Ludvigson, 2001, Consumption, aggregate wealth, and expected stock returns, Journal of Finance 56, 815-849.
    • (2001) Journal of Finance , vol.56 , pp. 815-849
    • Lettau, M.1    Ludvigson, S.C.2
  • 42
    • 19144370592 scopus 로고    scopus 로고
    • Expected returns and expected dividend growth
    • Lettau, Martin, and Sydney C. Ludvigson, 2005, Expected returns and expected dividend growth, Journal of Financial Economics 76, 583-626.
    • (2005) Journal of Financial Economics , vol.76 , pp. 583-626
    • Lettau, M.1    Ludvigson, S.C.2
  • 43
    • 49449114803 scopus 로고    scopus 로고
    • Reconciling the return predictability evidence
    • Lettau, Martin, and Stijn Van Nieuwerburgh, 2008, Reconciling the return predictability evidence, Review of Financial Studies 21, 1607-1652.
    • (2008) Review of Financial Studies , vol.21 , pp. 1607-1652
    • Lettau, M.1    Van Nieuwerburgh, S.2
  • 44
    • 33846191480 scopus 로고    scopus 로고
    • Why is long-horizon equity less risky? A duration-based explanation of the value premium
    • Lettau, Martin, and Jessica A. Wachter, 2007, Why is long-horizon equity less risky? A duration-based explanation of the value premium, Journal of Finance 62, 55-92.
    • (2007) Journal of Finance , vol.62 , pp. 55-92
    • Lettau, M.1    Wachter, J.A.2
  • 45
    • 79956076722 scopus 로고    scopus 로고
    • The term structures of equity and interest rates
    • Lettau, Martin, and Jessica A. Wachter, 2011, The term structures of equity and interest rates, Journal of Financial Economics 101, 90-113.
    • (2011) Journal of Financial Economics , vol.101 , pp. 90-113
    • Lettau, M.1    Wachter, J.A.2
  • 46
    • 0003114587 scopus 로고
    • The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
    • Lintner, John, 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
    • (1965) Review of Economics and Statistics , vol.47 , pp. 13-37
    • Lintner, J.1
  • 47
    • 48949118016 scopus 로고    scopus 로고
    • Is the value spread a useful predictor of returns?
    • Liu, Naiping, and Lu Zhang, 2008, Is the value spread a useful predictor of returns? Journal of Financial Markets 11, 199-227.
    • (2008) Journal of Financial Markets , vol.11 , pp. 199-227
    • Liu, N.1    Zhang, L.2
  • 48
    • 33845316866 scopus 로고    scopus 로고
    • The empirical risk-return relation: A factor analysis approach
    • Ludvigson, Sydney C., and Serena Ng, 2007, The empirical risk-return relation: A factor analysis approach, Journal of Financial Economics 83, 171-222.
    • (2007) Journal of Financial Economics , vol.83 , pp. 171-222
    • Ludvigson, S.C.1    Ng, S.2
  • 49
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.C.1
  • 50
    • 0000243016 scopus 로고
    • Dividends and taxes: Some empirical evidence
    • Miller, Merton H., and Myron S. Scholes, 1982, Dividends and taxes: Some empirical evidence, Journal of Political Economy 90, 1118-1141.
    • (1982) Journal of Political Economy , vol.90 , pp. 1118-1141
    • Miller, M.H.1    Scholes, M.S.2
  • 51
    • 84993914996 scopus 로고
    • Predictable stock returns: The role of small sample bias
    • Nelson, Charles R., and Myung J. Kim, 1993, Predictable stock returns: The role of small sample bias, Journal of Finance 48, 641-661.
    • (1993) Journal of Finance , vol.48 , pp. 641-661
    • Nelson, C.R.1    Kim, M.J.2
  • 52
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, Whitney K., and Kenneth D. West, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 54
    • 84977397160 scopus 로고
    • An empirical investigation of the arbitrage pricing theory
    • Roll, Richard, and Stephen A. Ross, 1980, An empirical investigation of the arbitrage pricing theory, Journal of Finance 35, 1073-1103.
    • (1980) Journal of Finance , vol.35 , pp. 1073-1103
    • Roll, R.1    Ross, S.A.2
  • 55
    • 49549135545 scopus 로고
    • The arbitrage theory of capital asset pricing
    • Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
    • (1976) Journal of Economic Theory , vol.13 , pp. 341-360
    • Ross, S.A.1
  • 56
    • 84883864943 scopus 로고    scopus 로고
    • Conditional betas, Working paper, NBER.
    • Santos, Tano, and Pietro Veronesi, 2004, Conditional betas, Working paper, NBER.
    • (2004)
    • Santos, T.1    Veronesi, P.2
  • 57
    • 84980092818 scopus 로고
    • Capital asset prices: A theory of market equilibrium under conditions of risk
    • Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442.
    • (1964) Journal of Finance , vol.19 , pp. 425-442
    • Sharpe, W.F.1
  • 58
    • 84883889092 scopus 로고
    • Bias in regressions with lagged stochastic regressors, Working paper, University of Chicago.
    • Stambaugh, Robert, 1986, Bias in regressions with lagged stochastic regressors, Working paper, University of Chicago.
    • (1986)
    • Stambaugh, R.1
  • 59
    • 0036970448 scopus 로고    scopus 로고
    • Forecasting using principal components from a large number of predictors
    • Stock, James H., and Mark W. Watson, 2002, Forecasting using principal components from a large number of predictors, Journal of the American Statistical Association 97, 1167-1179.
    • (2002) Journal of the American Statistical Association , vol.97 , pp. 1167-1179
    • Stock, J.H.1    Watson, M.W.2
  • 60
    • 84883864147 scopus 로고
    • Toward a theory of market value of risky assets, Working paper, Harvard Business School.
    • Treynor, Jack L., 1961, Toward a theory of market value of risky assets, Working paper, Harvard Business School.
    • (1961)
    • Treynor, J.L.1
  • 61
    • 77955140287 scopus 로고    scopus 로고
    • Predictive regressions: A present-value approach
    • van Binsbergen, Jules, and Ralph Koijen, 2010, Predictive regressions: A present-value approach, Journal of Finance 65, 1439-1471.
    • (2010) Journal of Finance , vol.65 , pp. 1439-1471
    • van Binsbergen, J.1    Koijen, R.2
  • 62
    • 0041488892 scopus 로고    scopus 로고
    • What drives firm-level stock returns?
    • Vuolteenaho, Tuomo, 2002, What drives firm-level stock returns?, Journal of Finance 57, 233-264.
    • (2002) Journal of Finance , vol.57 , pp. 233-264
    • Vuolteenaho, T.1
  • 63
    • 0000095552 scopus 로고
    • A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
    • White, Halbert, 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817-838.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1
  • 64
    • 0001098205 scopus 로고
    • Estimation of principal components and related models by iterative least squares
    • P.R. Krishnaiaah, ed.: (Academic Press, New York).
    • Wold, Herman, 1975, Estimation of principal components and related models by iterative least squares, in P.R. Krishnaiaah, ed.: Multivariate Analysis (Academic Press, New York).
    • (1975) Multivariate Analysis
    • Wold, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.