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- catalog abstract "This paper provides the first comprehensive study of expected firm (unlevered equity) returns. After accounting for the debt component of the firm return, I find that many of the cross sectional determinants of expected equity returns, such as the book-to-market ratio (value) and recent past equity returns (momentum), are substantially less powerful in explaining expected firm returns. In general, my results suggest that Modigliani and Miller (1958) capital structure effects, not the pricing of the firm's entire asset base, play a major role in understanding many asset pricing regularities observed in the equity markets.".
- catalog contributor b12944756.
- catalog contributor b12944757.
- catalog created "c2003.".
- catalog date "2003".
- catalog date "c2003.".
- catalog dateCopyrighted "c2003.".
- catalog description "Includes bibliographical references.".
- catalog description "This paper provides the first comprehensive study of expected firm (unlevered equity) returns. After accounting for the debt component of the firm return, I find that many of the cross sectional determinants of expected equity returns, such as the book-to-market ratio (value) and recent past equity returns (momentum), are substantially less powerful in explaining expected firm returns. In general, my results suggest that Modigliani and Miller (1958) capital structure effects, not the pricing of the firm's entire asset base, play a major role in understanding many asset pricing regularities observed in the equity markets.".
- catalog extent "14, iii p. ;".
- catalog isPartOf "Working paper (Harvard Business School. Division of Research) ; 03-044.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 03-044".
- catalog issued "2003".
- catalog issued "c2003.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "The cross section of expected firm (not equity) returns / Peter Hecht.".
- catalog type "text".