dc.contributor.author | Wang, P | |
dc.date.accessioned | 2017-03-09T14:58:20Z | |
dc.date.issued | 2017-06-20 | |
dc.description.abstract | In this paper, we propose a novel approach to derive a firm-specific measure of expected
return. It builds on recent accounting-based valuation models developed by Clubb (2013) and
Ashton and Wang (2013). The measure is intrinsically linked to commonly used financial
ratios including book-to-market, (forward) earnings yield, dividend-to-price as well as growth
and past returns. The empirical evidence shows that it is significantly positively associated
with future realized stock returns and also significantly correlates with commonly used risk
characteristics in a theoretically predictable manner. The results are likely to be of interest to
practitioners and managers in making capital allocation decisions and to academics in need of
proxies for firms’ discount rates and expected returns. | en_GB |
dc.identifier.citation | First published: 20 June 2017 | en_GB |
dc.identifier.doi | 10.1111/abac.12109 | |
dc.identifier.uri | http://hdl.handle.net/10871/26399 | |
dc.language.iso | en | en_GB |
dc.publisher | Wiley | en_GB |
dc.rights.embargoreason | Publisher's policy. | en_GB |
dc.rights | © 2017 Accounting Foundation, The University of Sydney | |
dc.title | Future Realized Return, Firm-Specific Risk and the Implied Expected Return | en_GB |
dc.type | Article | en_GB |
dc.identifier.issn | 0001-3072 | |
dc.description | Article | en_GB |
dc.description | This is the author accepted manuscript. The final version is available from Wiley via the DOI in this record. | |
dc.identifier.eissn | 1467-6281 | |
dc.identifier.journal | Abacus | en_GB |