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- catalog abstract "Most previous research evaluates market efficiency and asset pricing models using average abnormal trading profits on dynamic trading strategies. We measure the ability of the capital asset pricing model (CAPM) and the efficient-market hypothesis to explain the level of stock prices. First, we find that cash-flow beta (measured by regressing firms' earnings on the market's earnings) explain the prices of value and growth stocks well, with a plausible premium. Second, we use a present-value model to decompose the cross-sectional variance of firms' price-to-book ratios into two components due to risk-adjusted fundamental value and mispricing. When we allow the discount rates to vary as predicted by the CAPM, the variance share of mispricing is negligible.".
- catalog contributor b12963555.
- catalog contributor b12963556.
- catalog contributor b12963557.
- catalog contributor b12963558.
- catalog created "[c2003].".
- catalog date "2003".
- catalog date "[c2003].".
- catalog dateCopyrighted "[c2003].".
- catalog description "Includes bibliographical references.".
- catalog description "Most previous research evaluates market efficiency and asset pricing models using average abnormal trading profits on dynamic trading strategies. We measure the ability of the capital asset pricing model (CAPM) and the efficient-market hypothesis to explain the level of stock prices. First, we find that cash-flow beta (measured by regressing firms' earnings on the market's earnings) explain the prices of value and growth stocks well, with a plausible premium. Second, we use a present-value model to decompose the cross-sectional variance of firms' price-to-book ratios into two components due to risk-adjusted fundamental value and mispricing. When we allow the discount rates to vary as predicted by the CAPM, the variance share of mispricing is negligible.".
- catalog extent "37 p. :".
- catalog isPartOf "Working paper (Harvard Business School. Division of Research) ; 03-107.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 03-107".
- catalog issued "2003".
- catalog issued "[c2003].".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "Does risk or mispricing explain the cross-section of stock prices? / Randolph B. Cohen, Christopher Polk, Tuomo Vuolteenaho.".
- catalog type "text".