Growth Or Glamour Fundamentals And Systematic Risk In Stock Returns
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Growth Or Glamour
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2005
Growth Or Glamour written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Stocks categories.
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
Growth Or Glamour Fundamentals And Systematic Risk In Stock Returns
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2010
Growth Or Glamour Fundamentals And Systematic Risk In Stock Returns written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely quot;glamour stocksquot; whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
The Current State Of Quantitative Equity Investing
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Author : Ying L. Becker
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2018-05-10
The Current State Of Quantitative Equity Investing written by Ying L. Becker and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-10 with Business & Economics categories.
Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.
Accounting For Value
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Author : Stephen Penman
language : en
Publisher: Columbia University Press
Release Date : 2010-12-30
Accounting For Value written by Stephen Penman and has been published by Columbia University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-30 with Business & Economics categories.
Accounting for Value teaches investors and analysts how to handle accounting in evaluating equity investments. The book's novel approach shows that valuation and accounting are much the same: valuation is actually a matter of accounting for value. Laying aside many of the tools of modern finance the cost-of-capital, the CAPM, and discounted cash flow analysis Stephen Penman returns to the common-sense principles that have long guided fundamental investing: price is what you pay but value is what you get; the risk in investing is the risk of paying too much; anchor on what you know rather than speculation; and beware of paying too much for speculative growth. Penman puts these ideas in touch with the quantification supplied by accounting, producing practical tools for the intelligent investor. Accounting for value provides protection from paying too much for a stock and clues the investor in to the likely return from buying growth. Strikingly, the analysis finesses the need to calculate a "cost-of-capital," which often frustrates the application of modern valuation techniques. Accounting for value recasts "value" versus "growth" investing and explains such curiosities as why earnings-to-price and book-to-price ratios predict stock returns. By the end of the book, Penman has the intelligent investor thinking like an intelligent accountant, better equipped to handle the bubbles and crashes of our time. For accounting regulators, Penman also prescribes a formula for intelligent accounting reform, engaging with such controversial issues as fair value accounting.
Asset Pricing Theory
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Author : Costis Skiadas
language : en
Publisher: Princeton University Press
Release Date : 2009-02-09
Asset Pricing Theory written by Costis Skiadas and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-02-09 with Business & Economics categories.
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Accounting For Risk
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Author : Stephen Penman
language : en
Publisher:
Release Date : 2021-11-11
Accounting For Risk written by Stephen Penman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-11-11 with categories.
Accounting for Risk is about using accounting information to assess risk and the required return for bearing that risk. The focus is on investing in firms and the equity claims on firms: How much should an investor discount the price of a share in a firm for risk, and how can accounting information help to answer that question? That discount is variously called the required return, the expected return, or the cost of capital. The monograph links two strands of research - the first is accounting-based valuation research where value is assessed from expected cash flows, earnings, or residual earnings. The focus has been on forecasting those payoffs however forecasting payoffs is only one part of valuation. The other issue is how those expected payoffs should be discounted for risk. This monograph engages the question whether accounting information aid in the determination of risk and the discount rate? The second strand of research is asset pricing. While "asset pricing" might suggest this research is involved in determining prices, it is actually in pursuit of the required return to investing - the risk discount to price. Can accounting information about risk and return be utilized in building operational pricing models? Accounting for Risk also enhances financial statement analysis. While traditional financial statement analysis--ratio analysis--was conducted without much reference to finance theory, modern financial statement analysis derives from accounting-based valuation models that are based on the no-arbitrage theory on the pricing of expected dividends. That brings accounting and finance closer together. The key is an understanding of the accounting principles underlying the recognition and measurement in the financial statements. This requires an appreciation of how accounting handles risk, thereby generating accounting numbers that convey information about risk and expected return.
The Handbook Of Equity Market Anomalies
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Author : Leonard Zacks
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
The Handbook Of Equity Market Anomalies written by Leonard Zacks and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-24 with Business & Economics categories.
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Factor Investing
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Author : Emmanuel Jurczenko
language : en
Publisher: Elsevier
Release Date : 2017-10-17
Factor Investing written by Emmanuel Jurczenko and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-17 with Business & Economics categories.
This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing. The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners
Behavioralizing Finance
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Author : Hersh Shefrin
language : en
Publisher: Now Publishers Inc
Release Date : 2010
Behavioralizing Finance written by Hersh Shefrin and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
Behavioralizing Finance provides a structured approach to behavioral finance in respect to underlying psychological concepts, formal framework, testable hypotheses, and empirical findings.
Behavioral Corporate Finance
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Author : Hersh Shefrin
language : en
Publisher: College Ie Overruns
Release Date : 2017-04-16
Behavioral Corporate Finance written by Hersh Shefrin and has been published by College Ie Overruns this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-16 with Corporations categories.