Estimating the Intertemporal Risk-return Tradeoff Using the Implied Cost of Capital PDF Download
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Author: Luboš Pástor
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 72
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Book Description
We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we construct the time series of the implied cost of capital for the G-7 countries. We find strong support for a positive intertemporal mean-variance relation at both the country level and the world market level. Some of our evidence is consistent with international integration of the G-7 financial markets.
Author: Luboš Pástor
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 72
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Book Description
We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we construct the time series of the implied cost of capital for the G-7 countries. We find strong support for a positive intertemporal mean-variance relation at both the country level and the world market level. Some of our evidence is consistent with international integration of the G-7 financial markets.
Author: Mohamed Belkhir
Publisher: International Monetary Fund
ISBN: 1513522574
Category : Business & Economics
Languages : en
Pages : 44
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Book Description
Using a sample of publicly listed banks from 62 countries over the 1991-2017 period, we investigate the impact of capital on banks’ cost of equity. Consistent with the theoretical prediction that more equity in the capital mix leads to a fall in firms’ costs of equity, we find that better capitalized banks enjoy lower equity costs. Our baseline estimations indicate that a 1 percentage point increase in a bank’s equity-to-assets ratio lowers its cost of equity by about 18 basis points. Our results also suggest that the form of capital that investors value the most is sheer equity capital; other forms of capital, such as Tier 2 regulatory capital, are less (or not at all) valued by investors. Additionally, our main finding that capital has a negative effect on banks’ cost of equity holds in both developed and developing countries. The results of this paper provide the missing evidence in the debate on the effects of higher capital requirements on banks’ funding costs.
Author: F. Beltrame
Publisher: Springer
ISBN: 1137389303
Category : Business & Economics
Languages : en
Pages : 228
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Book Description
As well as reviewing traditional models, this book proposes an alternative model for estimating the cost of risk capital. This model, known as CaRM (Capital at Risk Model), bases the cost estimate of risk capital on VaR (Value at Risk) for the very first time. This book is an ideal resource for developing valuation research in SMEs.
Author: Mohamed Belkhir
Publisher: International Monetary Fund
ISBN: 1513519808
Category : Business & Economics
Languages : en
Pages : 44
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Book Description
Using a sample of publicly listed banks from 62 countries over the 1991-2017 period, we investigate the impact of capital on banks’ cost of equity. Consistent with the theoretical prediction that more equity in the capital mix leads to a fall in firms’ costs of equity, we find that better capitalized banks enjoy lower equity costs. Our baseline estimations indicate that a 1 percentage point increase in a bank’s equity-to-assets ratio lowers its cost of equity by about 18 basis points. Our results also suggest that the form of capital that investors value the most is sheer equity capital; other forms of capital, such as Tier 2 regulatory capital, are less (or not at all) valued by investors. Additionally, our main finding that capital has a negative effect on banks’ cost of equity holds in both developed and developing countries. The results of this paper provide the missing evidence in the debate on the effects of higher capital requirements on banks’ funding costs.
Author: Yenchun Jim Wu
Publisher: Frontiers Media SA
ISBN: 2889749096
Category : Science
Languages : en
Pages : 752
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Book Description
Author: Mr.Peter F. Christoffersen
Publisher: International Monetary Fund
ISBN: 1451848137
Category : Business & Economics
Languages : en
Pages : 31
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Book Description
Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do so.
Author: Zulkefly Abdul Karim
Publisher: Springer Nature
ISBN: 9819954479
Category : Business & Economics
Languages : en
Pages : 184
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Book Description
This book is a collection of research works by experienced academics focusing on the current issues of fintech and cryptocurrency in the context of Malaysia. The book aims to fill the gap in the extant literature on the topic in Southeast Asia. The book starts with a discussion on the role of monetary policies in the advent of the current trend where cryptocurrencies are being used more widely as a medium of exchange compared to conventional fiat money. It then goes on to provide a comparative analysis for beginners regarding the differences between cryptocurrencies and stocks, considering facets such as ownership, methods of exchange, volatility, regulation, and their interconnectedness. Also discussed are the factors influencing on-line investment options using the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) review method, a comparison of Islamic banking products and conventional fintech. The book ends on an analysis of the impact of the COVID-19 pandemic on the Malaysian stock market. This book is a valuable read for undergraduate students, postgraduate students, academicians, researchers, and professionals working in the economics, finance, and banking industries, particularly in Southeast Asia.
Author: Samik Shome
Publisher: Allied Publishers
ISBN: 939095147X
Category : Business & Economics
Languages : en
Pages : 480
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Book Description
This volume contains 27 papers in all. The papers included in this volume provide various facets of the management perspectives in the field of human resources, corporate governance, sustainability, entrepreneurship and gig economy, among others. Admittedly, in a multi-author book such as this, a divergence of topics and issues as well as views on a given topic or issue is inevitable. The book encompasses in its fold a wide range of business and policy issues in the Indian setup. Further, in view of the fact that the various papers included in the present volume are authored by researchers with diverse interests and backgrounds, it is not surprising that each paper may look unique even in terms of its structure of presentation, too. In such a situation, the editor’s dilemma should not be difficult to imagine for the reader. As editors of this volume, therefore, we deliberately preferred to keep the author’s style, arguments or conclusions, intact. In more precise terms, the papers included in this volume are largely in their original form and content. Although we, not being completely oblivious of our editorial responsibilities, have attempted some cosmetic aesthetics here and there in respect of some papers.
Author: Russell James Lundholm
Publisher: McGraw-Hill/Irwin
ISBN: 9780073309699
Category : Business enterprises
Languages : en
Pages : 0
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Book Description
While focusing on the underlying theories of financial analysis and valuation, this work aims to answer the question, "What is this company really worth?". It takes the view that sound forecasts of financial statements are the key input to a good valuation, and that other aspects of the valuation process are mechanical.
Author: S. Cheng
Publisher: Springer
ISBN: 1137464690
Category : Business & Economics
Languages : en
Pages : 368
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Book Description
Both quantitative and qualitative analysis is used to review China's stock market in a book containing the latest research on China's IPO market, the 2006-07 market bubble, the development of institutional investors, the stock index futures market, stock sector performance, corporate governance of listed firms and China's growth enterprise market.
